In America you do something similar with school. I went to school (not “the school”).
in LA it's most definitely "the 5" and state highways are also named with their numbers with no distinguishing. it's all "the N"
Parkway, Freeway, Highway, Tollway, Expressway, Interstate, Byway, etc
If you want to show your geographical sophistication within California, you can safely refer to "80" (I-80 passes through only the northern part of the state) and "the 10" (which passes only through the southern part). As for "5" vs. "the 5" just make sure that if you're heading south you've switched by the time you reach the Grapevine (q.v.).
I'm not sure where the N/S dividing line is, though. Any HN readers from Bakersfield or Coalinga?