The Mall and The Strand have articles because, unusually, these are streets which don't include the word 'street', 'road' or 'lane', or any other common noun, as part of their name. Your third example is wrong. We don't say 'the Wall Street'. The name of that particular street is the same as any other street in the English-speaking world - simply 'Wall Street' e.g. The bank's headquarters are on Wall Street ( never 'the'). The only time we'd put a 'the' before it is if it's being used adjectivally as part of a longer noun phrase, such as 'The Wall Street Journal' or 'The Wall Street Crash'. The name of the street is just 'Wall Street'.

https://www.ef.com/ca/english-resources/english-grammar/definite-article/ Rules for street names are at the bottom of the article.