Bonjour Jerry !

That's an interesting question!
Monaco is indeed a peculiar case, what we call in French "une cité-État" (a city State), as the city of Monaco covers the totality of the Country of Monaco. It is also called "la principauté de Monaco".
I guess that explains why in French you would never say "Je viens du Monaco", but actually consider it - grammatically at least - as a city.
I however decided to add a hint to the question, to avoid any confusion :)

I hope that's helpful!
À bientôt !