See the additional lesson which is linked also in the one you have referred to in your post :
Continents/countries/counties/regions/states are masculine, feminine or plural in French (Gender)
You can think of the British counties as masculine (despite a possible ending in -e) if their spelling is the same in French as it is in English. On the internet I found that Cornwall is increasingly also called le Cornwall in French. This seems to be to avoid confusion with the French region la Cornouaille, which is a part of Brittany.
So, you see, it is actually very easy.
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