Poe has a pretty long history of naming stories and poems after beautiful dead girls. There's Lenore (from "The Raven"), Annabel Lee, Ligeia, etc. So, on the face of it a title like "Ulalume" is just giving us the name of the girl who ends up being the main attraction.
At the same time, though, this title is introducing us to the wild, exciting world of sound in this poem. We bet you've never met a girl named Ulalume, right? Poe invented this word, crafted it to sound like the essence of sorrow, a condensed cry of pain and loss. Doesn't it just sound lonely and mournful?