Another country that used to have "The" while I was growing up was Ukraine. We started leaving it off only about 20 years ago, I believe.

As Ukraine means "on the edge/border" perhaps it made sense to earlier people to refer to it as "The Edge."

Gambia seems to be named after The Gambia River, and the various peoples are the Gambia, too. So Republic of The Gambia could also be called "of the Gambians."

Slava