You are not, it's a case of having a feel for what sounds right.
Dans le Merseyside , dans le Yorkshire, dans le Devon, dans la Région des Lacs etc...sound correct to me.
But en Ecosse, en Irlande, au Pays de Galles are correct and well known regions of the UK by the French.
In English these counties and regions don't have a gender so we have to invent an equivalence in French.
I have just looked at a French tourist website to see how they describe the different regions : Le Yorkshire de l'ouest , le Sussex de l'ouest, interesting ...