According to this, it's not supposed to be. However, that site doesn't talk about why it used to be called that properly (and the name properly persisted because of that previous tradition).

Doing some more research, I came upon this:

Those who called it "the Ukraine" in English must have known that the word meant "borderland", says Anatoly Liberman, a professor at the University of Minnesota with a specialism in etymology. So they referred to it as "the borderland".

There is another theory also presented in the article (which I'll link below), which says this:

The use of the article relates to the time before independence in 1991, when Ukraine was a republic of the Soviet Union known as the Ukrainian Soviet Socialist Republic, [Oksana Kyzyma of the Embassy of Ukraine in London] says. Since then, it should be merely Ukraine.

Source: http://www.bbc.com/news/magazine-18233844

Nowadays, it's properly referred to as just "Ukraine". The CIA factbook, the Times Comprehensive Atlas of the World, and numerous other nations all refer to it as just "Ukraine". However, I think people still call it "The Ukraine" sometimes because old habits die hard, so to speak.

It isn't anymore. Since it became independent in 1991, the official English name of the country has been Ukraine. As for why it used to commonly known as the Ukraine, let me adapt an old post of mine:

Ukraine has conventionally been "the Ukraine" in English. That's because of its etymology: the region around Kiev came to be called ukraina ("borderland") in the 16th century when it was a contested three-way border region between Russia, the Polish–Lithuanian Commonwealth and various Cossack hosts/steppe khanates (or at least that's the most widely accepted etymology – there are others). Originally it was a geographical description rather than a proper name—something like "the March" in English—and so it was borrowed into English with an article. It was also just one of many names for the region: traditionally western Europeans knew it as Ruthenia and in Imperial Russia it was more likely to be referred to as malorossiya ("Little Russia", as opposed to belorussiya "White Russia" and velikorossiya "Great Russia"). By the end of the 19th century these other names had faded away and Ukraine was the self-description of an emerging national identity – no longer just a geographical term. Thus after the Revolution there was a Ukrainian SSR. The English usage didn't track that change, though, and we kept on using the conventional "the Ukraine", and along with that a faint connotation that Ukraine was a region (of Russia) rather than a nation in its own right. After it became independent in 1991, they made the official English name of the country Ukraine without an article to stress that it was an independent country. Most international authorities now refer to Ukraine in English without the article, and "the Ukraine" is considered old-fashioned and obsolete.