The mentions of American locales are scattered throughout the Canon. There are 25 states mentioned - quite an accomplishment, when one considers that there were fewer than 48 states while Conan Doyle was writing - with the Deep South taking up 8 of those slots.
It was the Deep South that represented particularly mysterious and misunderstood backgrounds - think The Five Orange Pips and The Yellow Face as prime examples. "The Five Orange Pips" actually contains a mention of 7 states in the South, including Tennessee.
In a nod to the Volunteer State, this installment in the Sherlock Holmes Music Video series uses "Walking in Memphis" as its soundtrack. Enjoy.
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