Well, long story short: The Ukraine is the name from the Soviet era, meaning "the borderlands". When they gained independence they dropped it, but in other languages they still use the old name. Same with The Netherlands, which means the lower lands, and stems from an era where it was a combination of several nations In Germanic languages changed (Nederland, Niederlande), but not in other languages (Les Pays Bas, The Netherlands, Los Países Bajos, I Paesi Bassi).
Historically, it takes longer for these things to change in other languages