The Lost Hero refers most directly to Jason, the main guy in the book, who has lost his memory and doesn't know who or where he is. It also sneakily could be seen as referring to Percy Jackson, the star of Riordan's first major series, Percy Jackson and the Olympians. Percy is lost because he's gone missing and minor characters (like Annabeth) spend most of the book looking for him. But he's also lost in that he's absent from his own series—after being the star for a bunch of books, he never actually appears in this one. So you could see the title as Riordan apologizing to his fans: Sorry, no Percy in this one. Better try the next book.
If you want to get even trickier, you could say that The Lost Hero refers to you (yes, you), since you, like Jason, start out the book not knowing who or where you are, and have to read along to find Jason's (your?) true powers and destiny. (See "Why Should I Care?")