Why does "Bronx" have to be prefaced with "The?" Why not "A Bronx" or, most reasonably, just plain old "Bronx?"
The Vatican. The Hague. The Netherlands. The O.C. The Bronx. Unless you are a cartoon character, you can probably name on one hand the number of locations worldwide that are prefaced with the definite article "the." How the Bronx found itself in such esteemed company as the Holy See and the only county big enough for Peter Gallagher's eyebrows is an interesting bit of New York City trivia.
According to The Encyclopedia of New York City, the borough's name can be traced back to Jonas Bronck, a Swedish sea captain from the Netherlands, who settled in the area in 1639 and "eventually built a farmstead at what became 132nd Street and Lincoln Avenue." (Interestingly enough, if the home was still standing today it would only rent for about 25 shillings per month, due to Colonial rent-control laws.)
Bronck's name - Bronck, Bronck's, Bronx...note the pattern - would be given to the river that flows through the middle of the borough. Like the Mississippi, the Thames, and the Nile, most rivers have the function word "the" linked to their names. While no source gives an official date on when the "the" truly took hold, a visit to The Straight Dope tells us when people started referring to the general area surrounding the river's east and west in a more official capacity:
In 1874 about 20 square miles of mainland Westchester county was annexed to New York City. This region was known thereafter as the Annexed District of the Bronx, in apparent reference to the Bronx River, then the district's eastern border. In 1898 the Annexed District became part of the Borough of the Bronx - presumably still referring to the river. After a while, however, people forgot about the river and began casually referring to the entire borough as "the Bronx."
Some other cocktail chatter about the Bronx: not only is it the the only new York City borough connected to the mainland United States but it is also the only one to have a river run right through it. Despite its gritty reputation, about 24% of its land area is parkland, more than any other borough. It's also one of our favorite worlds ending in "x," along with "Jimi Hendrix," "Redd Foxx," and "Xbox."