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In the Zelda example:
That's because the only the is "The" Legend Of Zelda. If there is a debate over the acronym of the subtitle, there shouldn't be.
I think the inclusion of "United Kingdom", "-States" and "-Nations" is a bit off. Surely nobody ever refers to those entities without the definite article, and it would sound pretty silly if somebody said "I'm from United Kingdom", or "Hi, I'm the President of United States", or "I believe United Nations should intervene".
Speaking as someone who's lived in the UK for twenty years, I have never heard anyone miss out the definite article when they use it as a noun ("I live in the UK"). It does however drop the article when used as an adjective ("This is a UK passport").
US is the same way. It's "the United States of America" (as seen on the Presidential seal), or the US/USA/United States, but when used as an adjective it's just "US" (a US passport, a US citizen, etc).
I'm going to go ahead and remove those two entries, but I'll leave United Nations because it's a bit trickier.
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