With many of these it's common to say the name with a "the", so you're not wrong. In the case of the Bee Gees they (or their record company) have used "The Bee Gees" on singles, especially earlier ones, and one random album (plus a couple of early Australian-only albums). But the vast majority of albums are just labelled Bee Gees, and that's what the lords of Wikipedia have called their page. Their website is also BeeGees.com and uses the logo "BeeGees" with no The.
But it's one of the more arguable ones.