Which bands don't get a "the"? It is a headache for writers and the copy editors who back them up. You have your music acts with a mandatory capitalized definite article, like The The, where the article can't even be stripped away even for adjectival purposes ("...the following The album, Mind Bomb..." No). Maybe The The is the only one of those? But then you have the bands that take an ordinary definite article, like the Beatles or the Rolling Stones or the White Stripes. And you have the bands that never take one, like Sonic Youth or Pavement. And then you have the more annoying and smaller subset of acts that seem as if they ought to take one, but refuse to take one, because they want to be difficult. Swans , for instance.
At some point, while the Pixies were in retirement, some people started claiming that the correct way to refer to the band was just "Pixies." This had never occurred to me as a possibility. It was true that the album art just said "Pixies" on it, but leaving off a "the" was not dispositive. You had to do more than that to qualify to be like Swans. I had an old "Death to the Pixies" poster somewhere, and a copy of Tribute to the Pixies, and was unconvinced.
Now the Pixies have a website offering free show videos for fans to download. It is called "La La Pixies Love You," which seems to support the no-"the" claims. But there is also a handwritten-looking note in the middle of the page, and that note is signed "The Pixies." Unorthodox usage without consistency will not stand. Put it in the Stylebook of All Creation : stet the "the."