Here's why:
* Proper nouns are specific names of people, places, or things. "Maid of the Mist" is the specific name of a famous boat tour company and the boats themselves.
* Common nouns are general names for people, places, or things. "Boat" or "tour" would be common nouns.
Since "Maid of the Mist" is a unique, specific name, it is a proper noun and should be capitalized.