I enjoyed reading this thread, and although i am late....

The Netherlands and the USA, have the definite article preceding the country name, because they are pluralised forms. In Gambia's case, the region (Senegal and Gambia) was colonized by the British and since its split from Senegal, it continues to use the term that the British used for the specific region that was geographically located around the river. *The Vatican seems like another example of this - 'the' used to define a location within a location.
The Ukraine, I don't understand. The country escaped the Brits and so, I can only imagine that it is translated from Ukrainian. Is it called *the Ukraine in the regional tongue?