This simple title conveys irony and tragedy. A natural is someone who's just good at what they do, naturally talented. And that's Roy:
He was, Red Blow said to Pop, a natural, though somewhat less than perfect because he sometimes hit at bad ones, which caused Pop to frown.
"I mistrust a bad ball hitter."
"There are all kinds of hitters," Red answered. "[B]ut none of them bother me as long as they naturally connect with anything that gets in their way."
Pop spat up over the dugout steps. "They sometimes make some harmful mistakes."
"Who don't?" Red asked. (3.112-116)
The irony is that Roy's a natural as long as he stays on the baseball field. In the rest of his life, he's anything but. The world seems foreign to him, and he bungles his way through it. The tragedy is that Roy squanders his natural talent by abandoning his principles for some short-term gains. Pop's comment about Roy going after bad balls describes Roy's tendency to go after things and people that do harm him. Roy might be a natural on the field, but he stumbles in his life outside baseball.