Technically speaking the West Indies is not located in a country.The West Indies is a group of islands located in the caribbean.Christopher Columbus named the west indies beacause he got an easy route to go to India and he sailed west.So they are called the West Indies.
He was looking for the Indies. He thought he reached the Indies. He called them the Indies. Later when it was found that they weren't the same place as the Indies, they were named the West Indies and the original Indies were named the East Indies.