definite article - Using THE before some countries

I have been taught that it's grammatically proper to use the before countries like "Sudan and Yemen" but I was never given a reason (if there exists any, of course) when I asked why, except for "it is one of those ambiguous parts of English language that we – as non-native speakers – should just accept without trying to look for a reason". Now, I'd like to know if there is any answer to this "why" or I should keep on believing that there are no hard and fast rules when it comes to questions like these.