I don't know the answer, but anyhow, I salute you.
I want to learn all the countries and territories (and maybe all island) of the world.
The UN nations were pretty easy but these tiny little territories suck. How can I better remember which is which?
If you are bored you can do this quiz. It's pretty fun. Just make sure to do it on hard. It's too easy otherwise.
https://online.seterra.com/en/vgp/3355
Maybe learn about their history and politics? This might help you make connections beyond just names and shapes on a map.
Let's take the Faroe Islands as an example. I know that Stóra Dímun is inhabited by only two families who usually need to take a helicopter to get on and off their island. I know that Lítla Dímun is uninhabited. I know that the very southern typ of the southernmost island Suðuroy was once inhabited by Frisians, etc etc etc...
These little facts make these places come alive and be memorable in my mind.
I have also travelled there a little bit and know about some roads and ferries, which creates further connections.