Typically we don't use articles with city names, e.g. "Seattle" and not "the Seattle." I know at least one exception though which is The Hague. Are there any other city names which we use with the article?
This article postulates that the usage of articles in front of place names began simply as descriptions of the place, and that the place name evolved with common usage from there.
In the instance of The Hague/Den Haag, which is the colloquial term for 's-Gravenhage (truncated from des Gravenhage), the descriptor translates to something like the Royal court.
Other places dropped the article long ago after the descriptor no longer had the same conveyance. (For example, the city of Bath in England was known as Baðum - at the baths.)
The etymology of The Hague (Den Haag in Dutch, La Haye in French, La Haya in Spanish) is that it used to be a Royal Enclosure (Hague => Edge) - possibly a stockade. The "the" is therefore a valid article.
Also consider the followings:
- Los Angeles
- Las Vegas
- La Paz
- Le Havre (France)
- La Mancha (Spain)
- La Havana
- El Salvador
- La Rochelle (France)
I realise there are reason to believe that a city name starting with an article is more common in Romance languages - possibly because you can't omit articles in these languages. For instance the French name of New Orleans is La Nouvelle Orléans.
As a conclusion, one can probably hypothesise that having a city name starting with an article is unnatural to English and that whenever it does happen it is only as the result of the literal translation of an original article included in the place name in its home language.
Perusal of my road atlas (of the British Isles) turned up a couple of dozen such place names, although I'd hesitate to describe any of them as cities (hamlets would probably be nearer the mark).
My personal favourites are The Arms (Norfolk), The Barony (Orkney), The Bog (Shropshire), The Four Alls (Shropshire; The Four Alls is quite a common pub name so I suspect that's where it comes from), and The Throat (Berkshire).
Canada has The Pas which is called Le Pas in French http://en.wikipedia.org/wiki/The_Pas -- the name dates from 1912.