If you're asked where you live do you say ON THE Wirral, or IN Wirral?

I've always said ON the Wirral and wonder why? Why do we put THE in front of it and are there any other areas that use this way of describing the location?

It's actually a shortening of "the Wirral peninsula"; strictly speaking, if you use "the" you should also use "peninsula", but most people these days don't.
There are many other areas which are similar: "the Highlands", "the Downs", "the Fens" come to mind.
Personally, I tend to say "in Wirral".

I live in Upper Brighton on the Wirral Peninsula don't you know!

To add to confussion.

Metropolitan Borough of Wirral
Metropolitan districtThe Metropolitan Borough of Wirral is a metropolitan borough of Merseyside, in North West England. It has a population of 311,200, and encompasses 60 square miles of the northern part of the Wirral Peninsula. Wikipedia

Why not 'The' Wirral in this case?

Because then you'd need to add "peninsula"

'The' Asda

not 'Asdas' like the Mancs say it