Would people think I am rude if I correct them when they mispronounce Ukraine?

So I am Ukrainian, and have been living in the states for a while. Whenever someone asks where I am from, I always tell them I am from Ukraine. In 95% of all cases, they go on to ask me something about "the Ukraine", which is irritating because it is incorrect. It is like saying "the France" or "the China" or "the Canada". It sort of bothered me for a while, but I never corrected them. What's your take on this? Thanks!