It wasn’t terribly common to see the word "Ode" in a title until the Romantics came along in the 19th century. The Romantics delivered literary CPR to this ancient form and made it their own (see "Form and Meter" for more on this).
As in many poems, this title serves a very practical need: the reader what’s going on in the poem. Keats never uses the word "urn" once throughout the entire poem, so without this title, we’d really be up a creek without a paddle.
Nowadays, we tend to think of urns as fancy things that people keep in their gardens, or as receptacles for dead people’s ashes after they have been cremated. But in Ancient Greece, urns came in many different shapes and sizes. Some urns served a household need: to hold stuff, like that 40 gallons of olive oil that you’re saving for the winter. Other urns, like the one in this poem, were clearly more decorative and were works of art.
By calling it a Grecian urn, Keats assumed his audience would know he was talking about Ancient, nor modern, Greece. Back in the 19th century, every educated person had read at least some Greek writing. Ancient Greece was associated with learning and high culture, but also with noble country living and a slow pace of life. In particular, rebellious poets (like Keats) who didn’t want to write about the other huge literary subject of Western civilization – Christianity – could write about classical culture instead and most people wouldn’t think twice about it.
The last thing to mention about the title is that it contains a small joke. The poetic form of the "ode" was developed in Ancient Greece, so Keats is using a Greek form to talk about the Greek object. Ha! OK, maybe "joke" is an overstatement, but it is clever.