Maybe "the" is not in their official name, but for all of these countries you can say "Let's visit the ______" and it would sound wrong if you left out the "the". Possibly exception is Gambia, but even it's Wikipedia page is titled "The Gambia".
So, it isn't mention in the quiz, because it's officially called "Vatican City" without "the". Did I get this right? But we sometimes call it "the Vatican".