This question was asked of me by my 12 year old son, and I didn’t have an answer for him, so I’m turning it over to the teeming millions.
Some place names are preceeded by “the” but not others. For example we say *the * Pacific Ocean, *the * Brazos River, *the * Rocky Mountains, but just Deer Creek, Lake Michigan, Pikes Peak, etc. There seems to be a general rule that the larger the geographic entity, the more likely that its name will be prefaced with “the”.
What is really odd is that whatever the rule is, it never seems to be broken. You never hear someone saying “We went swimming in Pacific Ocean” or “I went swimming in *the * Lake Michigan”.