AP Style holds that you should capitalize U.S. Air Force Academy, U.S. Coast Guard Academy, U.S. Military Academy, U.S. Merchant Marine Academy, U.S. Naval Academy, etc. You should also maintain capitalization if the U.S. is removed from the title. For example,
- The Air Force Academy is a military academy.
Lowercase academy whenever it stands alone.
Cadet is the proper title on first reference for men and women enrolled at the Army, Air Force, Coast Guard, and Merchant Marine academies.
Midshipman is the proper title for men and women enrolled at the Naval Academy.
On first reference, use the appropriate title. On second reference, use only the last name.