Holmby Hall is a landmark site in Los Angeles. The Wikipedia page doesn't use "the" before Holmby Hall, but has used the before The Fox Theatre.
If you check out the history of UCLA and the area adjacent to its campus, you'll find that a local development near the university was called Holmby Hills, so called by the original developer. The building you're referring to, Holmby Hall, was named for the area nearby and was originally a dormitory for female students. The appellation hall is a common one for university buildings, and indeed, many UCLA dormitories carry the word in their names.
Holmby Hall is a proper name, so both words must be capitalized. The definite article is not required before personal proper names, and it's not required before building names that start with a personal proper name.