The short answer is that the play was called The Rocky Horror Show. Because this is a movie, i.e. moving pictures, it was re-titled The Rocky Horror Picture Show to distinguish it from the stage version. And it rolls nicely off the tongue.

But why was the play called The Rocky Horror Show? Well, the character of Rocky is credited as "Rocky Horror." Plus, his name evokes the pastiche of the show, which mixes various homages to classic horror and sci-fi flicks with glam rock.

Rock(y) + horror = Rocky Horror. (And you thought you'd never use math outside of school.)