Because some place names require an article.
Place names that have common nouns as part of their proper name generally require the definite article "the," common nouns like "states," kingdom," "republic," "empire," etc. Not always, though. While we say "the Netherlands," we never said "the Swaziland" but just "Swaziland."
Also, using "the" in a place name is not limited to just instances where there's a common noun as part of the proper name. There are other place names that arbitrarily call for "the," too.
In recent years, for example, people have started calling the country just west of Russia simply "Ukraine," but for a very long time, it was always called "the Ukraine" in English, which remains acceptable. To me, why it was ever called "the Ukraine" is a bit of a mystery since neither Ukrainian nor Russian use articles, neither language having a word that means "the." All the while adding a superfluous "the" to Ukraine, we at the same time have omitted "the" in front of other places that actually do have "the" beforehand in their native language, places like Brazil, whose name directly translated from Portuguese into English is "the Brazil."
My point is, using "the" before the proper name of a place is somewhat arbitrary. It rises more from our customs than from any set of grammatical rules. Like native English speakers, you are simply going to have to remember which proper names of places require "the" beforehand and which ones don't.
