In short, the title "The Remarkable Rocket" illustrates the self-importance and distorted view of reality that the rocket himself embodies. (He's a plain old rocket, keep in mind, just a stick that you light to make a pretty little flashy display.)
You might say that the theme of the story is that we create our own realities by filtering the objective world through our own biases. In that case, by calling the story "The Remarkable Rocket," Wilde perfectly illustrates that theme.
To put this more explicitly, the rocket is not remarkable, and in fact, the story isn't even really about him. It's about the prince and princess, and all the other fireworks, and all the animals who interact with the rocket, plus the two boys who show up at the end of the story.
But the title makes it seem like the story is all about the rocket and that he is remarkable. The title represents the twisted view of reality held by the rocket.
Let's consider the rocket's character a bit more to see how this is true. He's the most annoying character you've ever met, right? But why?
He's self-important, for one. He thinks he's the reason the Prince and Princess are getting married, and he doesn't understand that he's just a part of the fireworks show to celebrate their marriage.
In fact, his self-importance is so exaggerated that he imagines he's the most important being in the entire world; he loves to hear himself talk, and if anyone won't listen to him, he says it's their loss.
But all this self-importance and egotism go even deeper. The rocket has so overestimated his own worth that he ends up spewing paradoxes and actually interprets reality in a completely twisted way. He hears what he wants to hear--like when one of the boys calls him an "old stick," and the rocket insists that the boy must have said "GOLD stick," instead.
If we go with this line of reasoning, then the story could have also been called "The King's Amazing Flute-Playing" or "The Frog's Beautiful Croaking." The king, the rocket, and the frog all have those twisted views of reality and an exaggerated sense of the value that they bring to the world. That seems to be what Wilde is getting at here: that what's true and real to us may actually have a very tenuous relationship with the objective truth. So by calling his story "The Remarkable Rocket," he's offering us both versions of the truth: the real story, plus the way the rocket sees things.