Den Haag (dutch) is The Hague (english). The article has carried over its inflected function from the germanic roots.

The germanic inflected article 'den' has persisted, because it reflected an informal location (an area), not an actual pinpoint on a map. So, the 'den haag' was always used within 'in den haag' or 'in the hague'/'to the hague', never just 'the hague'. Den Haag was an informalization of 's Gravenhage, or the 'count's hedges' (which to confuse things further was a count's residence).

Here is the shift in the colloquial form:

'I am going to 's Gravenhage' became 'I am going to den Haag'.

'I am going to Count's Hedges' became 'I am going to the Hedge'.

Saying 'I am going to hedges' makes no sense, because the inflected dative form is lost.

Inflection is not found much in English, so other grammar must make up for it the purpose of nouns.

Another example would be 'I am going to the amazon', never 'I am going to amazon' or I am going to the Whitehouse', and never I am going to Whitehouse'. Both the Amazon and the Whitehouse linger on in English carrying on their abstracted sense of place, either geographically or metonymically.