Doing a special thread, which I will include on my website as well. Since one could argue that a nation's name is actually a symbolical representation historically constructed as a conceptualization of said #nation, I'll be analyzing the Arabic etymology of the #MENA's nations.
We'll start this thread with 𝐚𝐥-𝐉𝐚𝐳𝐚̄ʾ𝐢𝐫 ( #Algeria). Literally, the word means "islands" in Arabic, from the single jazīra. Since we all know that Algeria is not a group of islands, it's interesting to look for the origin of this name, the city of Algiers (al-Jazāʾir).
The city of #Algiers long predates Algeria, and was known to Medieval cartographers as Jazāʾir Bānī Muzghana, the "Islands of the Muzghana Tribe". We find this name on Muḥammad al-Idrīsī's Tabula Rogeriana (1154), for example. The region itself is called al-Awsaṭ (the midmost).
This is confirmed by Ibn Khaldūn (1332-1406) in his famous "Tārīkh" [Vol 6 p. 204-205], in which he described the Muzghana as a sub-tribe of the #Berber Ṣanhāja tribal confederation. He also confirms that Algiers is indeed named after the Muzghana, who lived by the sea.
Next is 𝐌𝐢𝐬̣𝐫 (Egypt), the Classical Arabic name for Lower and Upper #Egypt all the way until the town of Aswān, where Sūdān started. Below again a detail from the Tabula Rogeriana (1154) by Muḥammad al-Idrīsī. The use of this toponym was popularized by the #Quran.
Miṣr is mentioned as much as four times in the Holy Book, as the setting of the events related to the prophets Mūsā and Yūsuf. No other region was called by name so many times as #Egypt, which signifies a certain geographical importance, hence the persistence of the name.
Miṣr is most certainly of Semitic origin, related to the #Hebrew toponym Miṣr-āyim (āyim being a dual suffix), meaning the Two Egypts. The oldest attestation of this name for Egypt is the #Akkadian "mi-iṣ-ri" ("miṣru"), related to the words "border" and "frontier".
There are several different versions to explain the etymology of 𝐚𝐥-ʿ𝐈𝐫𝐚̄𝐪 ( #Iraq), some of which go back as far as Uruk itself. In general, however, the area was called #Mesopotamia until Late Antiquity, and al-ʿIrāq from about Medieval times.
According to #Lane, as explained in his Arabic-English Lexicon, the most substantiated etymology of al-ʿIrāq is its original #Arabic meaning of "shore" or "side" (of a river, i.e. the Tigris and the Euphrates). This might indeed be the best explanation out there.
On this 1072 map of Central-Asian scholar Maḥmūd al-Kāshgarī, the are is referred to as Arḍ al-ʿIrāqayn, or "Land of the Two Shores", an appellation for the alluvial planes and mouths of the #Tigris and #Euphrates rivers. The north is often called Al-Jazīra (Upper Mesopotamia).
The name 𝐐𝐚𝐭̣𝐚𝐫 ( #Qatar) was already known in the days of #Pliny the Elder (23-79 AD), who referred to the native nomads of the region as "Catharrei", as described by Peter Vine in his "The Heritage of Qatar" (1992). This demonym was probably inspired by a local settlement.
A century after Pliny the Elder, Claudius #Ptolemy (100-170 AD) produced the first known map to depict that specific region, referring to it as Catara (also mentioning a place called Cadara a little to the east). The name would appear a few times later on, but relatively rarely.
Qatar was frequently featured on European maps, but remained to be seen on #Muslim maps of the region until later #Ottoman charts. Left, you can see the Catalan Atlas (1375), referring to the place as catar (cadar?), to the right as "catara" on a 1720 map by Christoph Weigel.
It is generally believed that the name 𝐁𝐚𝐡̣𝐫𝐚𝐲𝐧 ( #Bahrein) historically referred to the coastal strip of eastern #Arabia roughly from al-Qaṭīf to Julfār (modern Raʾs al-Khayma). This is especially true for European maps, like this 1740 map of the Arabian Peninsula.
A 1745 map of the region by #French geographer Jacques Nicolas Bellin shows the same designation for that coastal area. Baḥrayn is actually the dual form of baḥr (sea), lexicalised as a proper noun fixed in the accusative/genitive form.
The word baḥrayn appears several times in the Quran, among others in chapter al-Raḥmān verse 19: "He released the two seas, meeting (together)." This is interpreted as representing salt water and sweet water, which is applicable to the #Gulf's salt sea and sweet ground water.
It is unknown when the region's name became solely representative of the island itself. But I remarked that al-Idrīsī's Tabula Rogeriana (1154) actually uses Awāl Jazīrat al-Baḥrayn for the island, Awāl being an ancient name for the island and its inhabitants and patron deity.
So either he meant to say Jazīrat al-Baḥrayn as a proper noun (the island #Bahrein), which means the region was named after the island, or, most likely, he meant a genitive construction (the island of the Baḥrayn), which means the island was named after the region.
The origins of 𝐀𝐥-𝐌𝐚𝐦𝐥𝐚𝐤𝐚 𝐚𝐥-ʿ𝐀𝐫𝐚𝐛𝐢𝐲𝐲𝐚 𝐚𝐥-𝐒𝐚ʿ𝐮̄𝐝𝐢𝐲𝐲𝐚 (the Kingdom of #Saudi Arabia) starts around 1924-1925, when the Sultan of Najd in the east of the Arabian Peninsula, 'Abd al-'Azīz Āl Sa'ūd, conquers the Ḥijāz region in the west of the Peninsula.
Prior to 1932, 'Abd al-'Azīz, then known as King of #Najd and King of Ḥijāz, administered the two parts of his dual kingdom as separate units. A 1926 #British map clearly distinguishes the former from the latter, albeit both under the same dynastical rule of the House of Sa'ūd.
On 23 September 1932, the two kingdoms were united as the Kingdom of Saudi Arabia, as shown in this #British 1941 map of #WWII. The name is a combination of Arabia and the adjectival form of Sa'ūd, i.e. Sa'ūdī (expressing possession by the royal family of Āl Sa'ūd).
Our next stop is 𝐋𝐮𝐛𝐧𝐚̄𝐧 (Lebanon). Up til the 20th century, the name Lebanon was limited to the famed mountain range known as Mount #Lebanon, home to the cedrus libani. #Medieval cartographer Muḥammad al-Idrīsī includes this name in his Tabula Rogeriana (1154).
The name appears in the #Biblical Book of Isaiah, written the 8th-6th c. BC. "For all the cedars of #Lebanon, tall and lofty" [Isaiah 2:13], Lebanon being written in #Hebrew as לבנון (l'vanón). Notice in Fohrer's Hebrew and Aramaic dictionary that לבן (lavan) means "white".
This is similar to the much earlier #Phoenician cognate l-b-n (𐤋𐤁𐤍) meaning "white", which is the direct etymological origin of the name Lebanon, a reference to its white mountain tops. This name subsequently was borrowed by other languages, like Greek and Aramaic.
In #Greek, Mount Lebanon became known as Λl'ΒΑΝΟΣ - Líbanos (despite the Greek word for white being Λευκό - lefkó). In #Aramaic, the mountain became known as Labnanu/Libnaana (despite the Aramaic word for white being ܚܘܪܐ - ḥewwārā).
The immediate origin for the name 𝐢̄𝐫𝐚̄𝐧 ( #Iran) is considered to be the word ērān, first attested in the titles of Ardashīr I (r.211-242), founder of the #Sassanian dynasty. On his investiture relief at the Naqš-e Rostam necropolis, he is called "ardašīr šāhān šāh ī ērān".
Middle-Persian demonym ēr- derives from Old #Iranian *arya- ( #Aryan) and -ān is a plural suffix used for human nouns, so ērān literally means "(land) of the Aryans". This fits in the #Zoroastrian Avesta tradition of using Aryan as an ethnic label for themselves.
The inscriptional use of ērān by Ardashīr I most likely refers to the Iranic peoples, rather than the multi-ethnic Iranian Empire. However, his son Shapur I (r.240-270) included in ērān regions such as #Armenia and the #Caucasus, which weren't inhabited predominantly by Iranians.
Since 𝐌𝐮̄𝐫𝐢̄𝐭𝐚̄𝐧𝐲𝐚̄ ( #Mauritania) is part of Arab-Berber North-Africa (53% of its inhabitants, called ṣaḥrāwīyūn, are of #Arab- #Berber descent). The history of the name Mauritania goes back the Classical Mauri kingdom way to the north along the so-called Mare Ibericum.
The Mauri were seminomadic pastoralist Berbers living in northern #Morocco. Their king became a vassal of #Rome in 33 BC. After his lands were annexed in 44 AD, his kingdom got divided into 2 provinces: Mauretania Tingitana and Mauretania Caesariensis [map Pomponius Mela 43 AD]
The term " #Mauri" originated from the #Phoenician name "Mauharim", meaning "the furthest people" because of the geographical position of their homelands farthest to the west. From "Jugurthine war and Conspiracy of Catiline, with an English commentary" by Charles Anthon (1838).
Next up is 𝐚𝐥-𝐦𝐚𝐠𝐡𝐫𝐞𝐛 ( #Morocco). Officially known as al-Mamlaka al-Maghribiyya (the Kingdom of Morocco), the origin of the name obviously originates from the #Arabic word gharb, the cardinal direction west, and ghurūb, the setting of the sun.
The word maghreb is grammatically speaking a marker of place (ism makān) from the verb gharaba (to set [the sun]), i.e. literally = the place where the sun sets, which is the west. It is NOT, as some people claim, a reference to darkness or strangeness (cfr. the West [al-Gharb]).
In the past, #Morocco was called al-Maghreb al-Aqṣā, which means the furthest western point (on the map). Indeed, there was nothing known beyond Morocco except for the #Atlantic Ocean. Below, a detail from the Tabula Rogeriana created by Muḥammad al-Idrīsī in 1154.
For the origin of the name 𝐚𝐥-𝐔𝐫𝐝𝐮𝐧 (Jordan), we'd have to go back to the etymology of the Jordan River, which covers most of the northwestern border between the country #Jordan & occupied #Palestine. The origin of the name Jordan is ancient, and likely of Semitic origin.
Although some experts trace the origin of Jordan to a pre-Semitic, non-Akkadian word *yar (river), most believe the name could originate from old #Semitic "yard" (flow down), from which #Hebrew יָרַד (yarád - to go down) and Imperial #Aramaic ירד (yreḏ - stream) derive.
Yard would in this case've been combined with the toponym marker -ō (yard-ō) and the Late #Biblical Hebrew addition -n to such a toponymic type stem, which would thus result in yard-ō-n (yardōn), i.e. the place of streaming down, a reference to the Jordan River's declivity.
This name, which fully formed in the Late Biblical Hebrew period (post-587 BC), was transliterated into #Greek as Ἰορδάνης (Iordánēs), which forms the origin of English Jordan. Arabic الأردن (al-Urdun) is derived from the verb w-r-d (arrive, come), cognate to Hebrew and Aramaic.
The OT refers to the river as הירדן (hayardon). Likewise, #Arabic refers to it as الأردن (Al-Urdun), with definite article (-ال).

Sources:
"All the Places in the #Bible" Losch R.R.
"A study on some Semitic toponymic types of the 2nd M BC in the southern #Levant" Rahkonen P.
An interesting etymology of 𝗮𝗹-𝗬𝗲𝗺𝗲𝗻 ( #Yemen) traces the origin of the name back to the Old South #Arabian Sabaean root YMN, referring to the south or being southward (ymnt). One can refer to the University of Sanaa's Sabaean Dictionary (1982).
It is clear that Yemen was already known as such in the days of the prophet Muḥammad, as he sent the Companion Muʿādh ibn Jabal there to proselytize. Since Yemen lies south of the Ḥijāz, one can assume that its name was derived from the indigenous root YMN.
This Sabaean word is intrinsically connected to the better known #Arabic yamīn, "right, right hand". Since the Sabaeans lived in the southern part of the #Arabian Peninsula, any other Arab facing the rising sun would've Yemen on his right hand, his yamīn.
This isn't unique, however. Because while Yemen lies to the Arab's right, #Syria lies to his left hand, his shamāl. Shamāl is also the Arabic word for "north", and ultimately resulted in the origin for the name al-Shām, the #Levant. [Encylopedia Islam vol. IX]
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