As far as Ukraine is concerned, if you meet someone from that country, they will not add the "the" to the front:
Q: Where are you from?
A: Ukraine.
I agree with the previous poster about the use of "the" when it signals a collection:
The Phillippine Islands
The United States
The Fontduroy Territories
That last one may not be correct, I'll have to refer to a globe...
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