That's a good observation for which I don't have an answer. It's probably just one of those linguistic curiosities. We also use the article with the name of seas, oceans (and sun & moon & stars), but not with constellations with formal names.
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Gyeong-su YimCould you explain the reason why we don't usually attach "The" just right before a lake's name, while we do so for a river's name?(I have no idea!)