Aurélie affirmed that, indeed, Merseyside is masculine. It joins ranks with all the other British counties and regions endinge on -shire, which are also masculine. That's as close to a justification I can give. It is probably also as close to one as there is.

-- Chris (not a native speaker).

My bad. Later, I noticed on a repeat of the question that they said le Merseyside is a region, I missed noticing the le!