J, 1433 bytes
[(*1-~:,]`toupper/\)@e.&'aeiou'`(,:toupper)}
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]`toupper/. In general, u`v/. will alternately apply verb u and v to each element in a list. Here, we alternately apply the identity ] and toupper.[:, The above will return a 1-column matrix, though. So we need to flatten , the result.
Kind of shockingly long, but best I could find so far...
