Learn English – Uppercase ordinal numbers

The usual answer is to consult the style guide of your organisation.

There is an online tool you can use to help with title capitalisation, but it only deals with the capitalisation of the first letter of each word. There are three style guides to choose from, including AP and Chicago Manual of Style. In any case (no pun intended), if you type in "11th", the "th" remains in lower case.

As this doesn't truly help your situation where everything (else) is capitalised, the question is what kind of a thing "11th" really is. Richard Nordquist at About Education considers them to be numerals followed by abbreviations.

If we consider "11th" to really be the same as "eleven" with "th" tacked on, and the "eleven" portion replaced by the numeral "11", Frankenstein though that might be, then what we are left with is really just the number spelt out, sort of.

Looking further afield, a number of articles on style close with something along the lines of whatever you choose, be consistent:

• If you are writing titles (or headings) for a school paper, it is recommended to choose one style for capitalizing titles and be consistent throughout. - Rules for Capitalization in Titles of Articles
• When it gets confusing, just remember these golden rules of copyediting: (1) Whatever you choose, be consistent; (2) but beware of having a tin ear; and (3) it's all arbitrary, so go for clarity and sustainability. - Titles: Quote Marks, Italics, Underlining, or Naked?
• If you're juggling a bunch of numbers within the same paragraph or series of paragraphs, be flexible with the number style if doing so will improve clarity and comprehension. - Chicago Manual of Style, as quoted in "Numbers: Spell Out or Use Numerals? (Number Style 101)"

So if the rest of your spelt-out words are in capitals, by a consistency argument, so should the trailing "TH".