Whether a place name has "the" depends on the kind of place.
No "the": streets (Baker Street), lakes (Lake VIctoria), mountains (Mount Everest), continents (Asia), bridges (Tower Bridge), Stations, airports and churches (St Paul's Cathedral), shops and restaurants (Bloomingdale's)
With "the": rivers, seas, oceans (The Atlantic), mountain ranges (the Alps), republics and kingdoms (The UK), Some bridges (the Golden Gate Bridge), hotels, theaters and cinemas (the Globe)