The authors of New Testament books didn't title their works. Maybe they thought that was a little too fancy. Later generations of Christians, who liked fancy names, needed something to help them tell which book was which. They couldn't use the first lines for these two like they had done for other books, so they went the simple route.
The most commonly used title for these two—The First Epistle to the Thessalonians and The Second Epistle to the Thessalonians—pretty much say it all. It just means that these books of the Bible are:
• letters…
• that were sent to the Christian church in Thessalonica…
• and that one came first and one came second.
Simple enough, right? Ah, but allow us to throw a monkey wrench in your certainty. While the first letter in the series was written to the Thessalonians by Paul, the second letter most likely wasn't.
The author of this second letter probably wanted to piggy-back on the popularity of Paul and his first letter to the Thessalonians, so he wrote a little work that he attributed to Paul and pretended that it had been sent to Thessalonica, too. It would be kind of like if you wrote a book called Harry Potter and the Sequel Everyone Wants to Read, but told the world it was penned by J.K. Rowling. The lines would be around the block.
Today, this would be called copyright infringement and J.K. Rowling would tell everyone that you were a big fat idea thief. But in the ancient world, writing under a pseudonym was a way to give your writing more oomph. After all, who cares what Demetrius from Athens thinks about God? But if we're talking Paul and a sequel to one of his most popular letters—well... where can we get a copy?