Bonjour Ann !

Unfortunately, I have no explanation as to why we do this, all I can say is that to express origin, you'll use de with feminine countries, and du with masculine ones :)
If I had to guess, I'd say it's probably to keep it to one syllable, for pronunciation ease...

Here's a link to our related lesson:
https://kwiziq.learnfrenchwithalexa.com/revision/grammar/say-where-you-come-from-with-venir-de-d-du-des-country-state-region

À bientôt !