The title of "Ode on Melancholy" isn't about to ruffle any feathers or throw us for a loop. It tells us, plain and simple, what the form of the poem is, and what the poem will be about. It's an ode… about melancholy. Big whoop.
But, hey, we think there's more to it than that. For one thing, "Ode on Melancholy" still stands out as one of the most quintessentially Romantic poem titles you'll ever see. First of all, the Romantic poets, and especially John Keats, re-popularized the ancient Greek poetic form of the ode (check out "Form and Meter" for more on that). So prior to the Romantic era in the late 18th and early 19th century, you didn't see a lot of "Odes" in collections of British poetry. And then suddenly, they were everywhere.
Second, the Romantics in general were all about giving expression to their passions and the intensity of their emotions, so having "melancholy" in the title is also very typical of the Romantic movement. For the sake of comparison, check out another famous Romantic-era composition that is titled as an "ode" to a particular emotion—the "Ode to Joy" by Beethoven, with words by German poet Friedrich Schiller.