In the above examples, the article "the" is part of each actual place name. You would I ld never say "United States", "United Kingdom", or "United Arab Emirates" without the article, so you should include the article with each in a comma-separated list.
Other times, whether you include the article with each item will depend whether the same article applies to all items in the list. For example, the first sentence below uses the article for all items, while the second uses it only for the first. Notice you would infer the same meaning from the second as the first.
He delivered the ring, the flowers, and the rose petals.
He delivered the ring, flowers, and rose petals.
Either way is correct and acceptable.
In case where it does matter and you should definitely include the article for each item is if your list should use mixed articles. For example:
Please hand me the ketchup, a fork, and the butter.
Notice if you rephrase this to use only the first article, it sounds wrong.
Please hand me the ketchup, fork, and butter.
Finally, you should always include the article if the article is indefinite:
I would like a medium pepperoni pizza, a chocolate chip cookie, and a Pepsi.
I would like a medium pepperoni pizza, chocolate chip cookie, and Pepsi.
Note the second sentence doesn't make sense.