Citizens of the Lithuania, sounds wrong. Citizens of the Russia too. However, citizens of the Ukraine, sounds right. Also of the United States (of America) as well as of the United Kingdom.
What is the proper usage of 'the' to name a country?
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As with much of English, this is something you'll need to learn on a case by case basis. However, there are two rules of thumb:
1) If the main portion of the country's name is a noun with an independent meaning, use an article.
For example: "State" and "Kingdom" are existing words, and using them in ordinary conversation, you'd use an article. Therefore, you use an article with "The United States of America" and "The United Kingdom of Great Britain and Northern Ireland." The same is true of "Islands," which is why you use an article for "The Solomon Islands."
Think of it this way: if you could rephrase the name of the country with "which," you use an article. "The Kingdom." "Which Kingdom?" "The United Kingdom of Great Britain and Northern Ireland."
2) If the country (or other subnational feature) is plural, use an article. The Phillipines and Saint Vincent and the Grenadines are the only countries I know of that are plural (not counting countries included in rule one), but the rule also works for sub-national divisions, like "the Outer Banks."
Otherwise, English generally don't use an article--but there are exceptions. "Ukraine" is a contested exception; many people say "the Ukraine," but many others object to this on grammatical and/or political grounds. The Vatican is the other exception that springs to mind--but as with The Ukraine, often when you say "The Vatican" you're referring to something other than the political entity Vatican City--which, in an exception to the first rule, doesn't take an article.
In very few cases.
I will expand my examples to sub-national entities. Usually when the name of the country refers to a specific landform, such as "the Philippines" (the Philippine islands), "the Scottish Borders," "the United States," "the Netherlands" (the lowlands.)
"Ukraine" is an interesting case. The name literally means border land, hence in Soviet era it was "the Ukraine", as it was the borderland between the Russians and the other East Slavs. However, this reduced the country to being the frontier between two others. (reference) Therefore, one of the first acts of the independent country was to specify that their name is "Ukraine."
Your question is really about when to use "the" with nouns or proper nouns. http://www.quickanddirtytips.com/education/grammar/when-to-use-articles-before-nouns
Citizens is a plural noun, like "cats" and can have a determiner or not. As a native speaker I would use "the" to refer to the group as a unique group.
The citizens of the United States voted today.
If I was addressing the citizens in a blog, I might say
Dear Citizens of the United States, please vote today.
If I was talking about citizens in general, I might not use a "the."
No one was surprised when many citizens of Alderaan left before the attack.
"The" is used before a country when it is a modifier of something else.
The United States (of America). "United States" is a modifier of America, so it needs "the."
The Ukraine. "Ukraine" means "borderland" (relative to Russia). And for our purposes, it is a "modifier."
But "Russia" and "Lithuania" don't modify anything else.
The countries which comprise of more than one small parts of islands or states. Refer to this
"The Ukraine" literally means "The Borderlands", which is best translated into English as "The Mark". In other words, it is an example of Chapka's Case #1.
"The Mark [of the Riders]" is the name of the most honorable country in English literature. As told in the tale of Cirion and Eorl, and in The Lord of the Rings, the Mark always kept its oaths -- and the Kingdom of Gondor kept its oaths to the Mark.
So the leaders of the Ukraine have a choice -- do they wish to be known as a highly honorable nation that is worthy of alliances with nations that also keep their oaths? or do they choose otherwise?
The reason that the leadership of the Ukraine mistranslated their name into English back in 1991 is that they misinterpreted "the Ukraine" as implying a lack of sovereignty. They appear to have been unaware that the Mark was fully sovereign -- Éomer and Aragorn were equals when they renewed the oaths of Cirion and Eorl. (It can be argued that Eorl had a higher rank than Cirion. Eorl was a king in his own right, whereas Cirion was "just" a Steward "until the King comes back".)
Coincidentally, there are a lot of similarities between the (fictional) Mark and the (real-world) Ukraine. Both are mostly flat, with wide grasslands and marshy rivers. The Mark's southern border was mountainous; part of the Ukraine's western border is mountainous. Both are large countries, that adjoin much larger countries (that they used to be part of). The Mark was previously part of Gondor; the Ukraine was previously part of the Polish-Lithuanian Commonwealth, the Russian Empire, and (after the Russian Revolution) the Soviet Union. Tolkien translated the speech of the Rohirrim's ancestors using a language formerly spoken in the Ukraine.