Colombia is a country in the extreme north of South America, pronounced with the second syllable like the surname of the actor Herbert Lom.
British Columbia is a province of Canada, and the District of Columbia is where the US capital city is to be found. These are both pronounced with the second syllable like the Scottish word for a chimney – lum.
However, the capital of Sri Lanka is spelt with -o- like the South American country, but pronounced as if spelt like the Canadian province and American District.
No wonder they are so often confused.