While "The Idea of Order at Key West" is a helpful title in the sense that it gives us a head start in determining the poem's setting, it doesn't really prepare us for what's in store in terms of the poem's complexities. However, breaking the title down into its component parts does a provide a little more insight to the poem's central "ideas."
"Key West" is a well-known island in the Florida Keys. By using this specific location in the title, Stevens immediately places the reader in the setting. We are thinking sun and surf. Our brains (super computers that they are) automatically cue up the sounds (so much of the poem is about sound—just check out "Sound Check" if you don't believe us) and scents of the beach. Stevens wants us in this place with the speaker and the singer right from the start, and mentioning the specific place name in the title does the trick.
An idea is not a concrete (seeable, touchable) thing. It exists in the mind. The most basic definition of the word refers to personal opinion and belief. There is certainly some of this in Stevens' use of the word. The poem he presents us with certainly represents his personal opinion about art and inspiration and the place of poetry in the world. But there is more to the "idea" in the title than this.
Idea can also refer to a mental picture that is a reflection of reality. This definition is a dead ringer for what Stevens is exploring in the poem: that delicate relationship between reality and imagination.
Order has many meanings. Stevens, being the brain that he was, would have known them all and the way they would function, the nuances they would provide, in the context of the poem.
For starters, there is the basic sense of the word order meaning the way things are arranged. Things can be arranged or ordered in an infinite number of ways. Stevens was probably a big fan of infinite.
Order can also refer to the divisions within a ministry in some Christian denominations and even a form of Christian religious service. Stevens presents art and poetry almost like a religion, holding it up as divine and responsible for creating, in a sense, our world. Look back over the poem. Look at how Stevens plays with the sound of words like "wholly" or the way he uses the term, "maker."
The title uses language the way it is used throughout the poem. Words often function in terms of their primary and secondary definitions, giving the poem layers of meaning and understanding—in essence seeing and experiencing the same word from several different perspectives at the same time. (Sounds familiar, right? It's a lot like the way the speaker is seeing and hearing and experiencing the sea from several different perspectives at the same time!)