The definite article makes sense in this case, since it's a specific place and not a category, "les" because that's how you'd probably see it written if mentioned out of context elsewhere[0], and capitalized (against French convention) because proper names are typically capitalized in English, including articles.

And also because people who speak about Les Olympiades in English call it Les Olympiades, in a deliberate effort to distinguish it from the Métro station.

https://fr.wikipedia.org/wiki/Italie_13#Les_Olympiades