Do I need to use "the" if I say "mysterious Japan" or "vast Russia"? Will it be "the mysterious Japan" or just "mysterious Japan"?
In my opinion, it is not advisable to say something like "The mysterious Japan" or "The vast Russia". For example, you have "The mysterious Japan". I suppose it won't take you long to recognize the problem if you just remove the adjective, which will be "The Japan" - There is no country such as "The Japan", right?
In your context, I suppose the appropriate way to use adjectives with country names is "The mysterious country of Japan" or "The vast land/country of Russia".