Admit it. You have no idea how to pronounce Pnin. Maybe Peh-neen? Maybe P-uh-niin? Or how about with a silent P? Yeah, that sounds about right.
Pnin's name is actually difficult for English speakers to pronounce because it has a cluster of consonants (that's right, p + n) that normally doesn't occur in the English language. So all throughout the novel it's a kind of running joke that no one can pronounce his name. The inability of Pnin's colleagues to get their minds around something even as simple as his name (it only has four letters!) is symbolic of their inability to accept him as a person. And since isolation and the foreign experience is basically what this novel is about, it seems a perfect choice.
Okay but what about naming the novel Timofey Pnin, or Professor Pnin? Well the last one is out because by the end of the novel Pnin is no longer a professor. And the first one is out because Timofey is actually very close to Timothy, so that's not too difficult to pronounce. Also Pnin kind of hates the American practice of calling people by their first names, so only using his last name as the title also hints at his old school cultural practices.
What about Nabokov's original title, My Poor Pnin? Well, the whole point of the book is to make you think that very phrase. He's not gonna give it up as soon as the title.