It is used in several country names, the word “the” but what many do not know is when to use it.
It is actually quite simple, “the” is used for countries that are plural and “the” replaces the words that states their kind of state in their official names.
(the Republic, the Democratic, the State(s), the Union, the Confederation, the Kingdom, the Commonwealth, the Principality)
The examples are quite easily put together:

It is “The Netherlands”, this is because it is fully “Kingdom of the Netherlands”.
It is “The Bahamas”, as it is fully “Commonwealth of the Bahamas”.
It is “The Philippines”, as it is fully “Republic of the Philippines”
It is “The Seychelles”, as it is fully “Republic of the Seychelles”

We could go on for a while, as also it is “The Maladives”, “The Barbados”, “The Cook Islands”, “Saint Vincent and the Grenadines”, “The Comoros” and “The Marshall Islands”.
Apart of that there is one exception which will have “the” in singular form, which is “The Gambia”

Solomon Islands will sometimes be called “The Solomon Islands”, however, this is terminologically incorrect. They once were the “the British Solomon Islands Protectorate”, at which time they were also called “The Solomon Islands”, however, with their 1978 independence, they kept the name of “Solomon Islands”, but the “The” no longer is effective as they are none of the previous stated forms of states.

But… What about examples like USA?
Simple in the case of the United States of America, it is in official terms without “The”, which you also see at their very short “USA”, which you will speak as “United States of America”, not actually “The United States of America”.
Their official name already state their form of state, as you at “States” within their name, or the easiest example “United Kingdom”, see the “Kingdom” part…
There are more of those examples, like “Democratic Republic of the Congo”, “Republic of the Congo”, “Dominican Republic”, “United Arab Emirates” and “European Union”.

To understand it fully..
The first examples, like The Netherlands and The Philippines, they are officially with “The” and without “The” it is not actually their country.
The second examples, like United States of America and United Kingdom, they are officially without “The” and only without it will state their official names.

Now, it is kind of sad that many online websites still do it incorrectly, especially sources like Wikipedia that people use to correctly learn these names…