Why is "the" used in "the Australian Capital Territory", but not before "New South Wales"? Is it as if you started off with "the territory", made "territory" start with a capital letter, and added in "Australian Capital"?
According to "The Cambridge Guide of English Language":
The English form of certain placenames has included the word "the", which may or may not still be capitalized. The Dutch city of "The Hague" is one case where the official name includes the definite article, with a capital letter even in mid-sentence. [...] The Dutch kingdom was once "The Netherlands", though the official English form of the name is just "Netherlands", as shown in the United Nations member list (www.un.org). [...]
However, in the light of the uncertainty associated with your problem—e.g., is the word "the" idiomatic in some placename cases?—, the best I can think of is to read the exact placenames-spelling in the Post Office Guide and in the Oxford Atlas gazetteer.
Lastly, if you are precisely looking for the "why" in your particular case, I think you should ask on English Language & Usage.