By default, text is converted to all lowercase in the Text Explorer platform. You can use the "From Source" keyword in the Save Regex Column message to save the results of a custom regex that preserve the original case of the text. The first argument is the name of the column that is created in the data table. The second argument is the string "From Source" or "From Result". The default behavior is equivalent to specifying the "From Result" keyword.
dt = Open( "$SAMPLE_DATA/Aircraft Incidents.jmp" );
obj = dt << Text Explorer(
Text Columns( :Airport Name),
Tokenizing( "Regex" ),
Save Regex Column( "Output Column", "From Source" )
);
obj << Close Window();