"America" but "The United States". There appears no standard rule.

A similar problem afflicts the country whose capital is Prague. In the old days "Czechoslovakia" was universal. But now it's most usually called "The Czech Republic", I am not certain how that Republic got in there as most other countries are republics as well and do not use it as a suffix except in formal communications. The language and nationality use Czech readily enough ("I am Czech and I speak Czech") but "We are going to Czech" seems unknown. A few, non-English speaking places call it "Czechia", which adds to the differences.