Why is it called The Hague instead of just Hague? New York City has Manhattan and The Bronx. Why not The Manhattan? Or just Bronx? And when did The Ukraine become plain Ukraine? It turns out that place names with definite articles all have a different story to explain the name, and different languages have their own peculiar rules and exceptions for naming places.
Those who live in The Hague never stopped using an old-fashioned name that described the place according to its medieval use. We get the official name Den Haag from Des Graven Hage, which means "the counts' hedge" and refers to the fact that Dutch noblemen once used the land for hunting.