Isn't that just how the language works though? Like, it sounds unnatural to say certain nouns without adding "the" to the front

Well the "naturalness" argument feels a bit iffy to me, but in the context of a specific language community, over time, things stick I guess. Like why do germans (I rly should say germanophones since austrians and the swiss do exist) say "der Iran", or "der Jemen"? Who came up with that? Now it probably feels natural to them, but it was never preordained.

Spanish does that too, it's why Das Kapital is called El Capital in Spanish but just Capital in English.

Im sure someone more linguistically minded can give the real explanation but in regards to your Capital example, its a peculiar feature of English in relation to the other western european languages where certain abstract nouns are not used with their articles. Like for example in English you can say "Love wins", but in German you cant say "Liebe gewinnt", you say "Die Liebe gewinnt".