‘The’ is added to assuage the English speakers confusion at the country not being called Ukrainia.
A couple more regions with definite articles:
Hmmm … Wikipedia doesn’t have definite articles on the titles for those pages, although they use them in the articles. Someone should fix that.
I believe it’s the same with citizens of Guam and Saipan. Both are unincorporated US territories.
No one uses the “the” except for OSU’s PR department.