In Dutch it's just called Nederland. "The" is added when referring to it in English since it makes more grammatical sense in English. The Low-Lying Lands.
Ukraine is its full proper name, from the original name of Україна, which can be romanized to Ukraine.
It's actually a really interesting but of english.
We include 'the' when the type of government or state is mentioned which is why it is just China but it's the people's Republic of china or in the case of a region, like the Cotswolds.
Ukraine was referred to as the Ukraine during the soviet Union as it was a region of a greater country. Therefore using the Ukraine basically diminishes Ukraine to a territory of another country which is sorta what they're fighting not to be.
Pepsi has a history in Russia. They once traded the USSR soda in exchange for a fleet of naval ships. IIRC at the time Pepsi had the 4th largest navy in the world. They sold the ships to Norway.