Excellent question. It is of course important to remember to always analyse titles when studying works of literature. They are not just picked at random and are the result of careful thought and deliberation. The title of this excellent dramatic monologue seems to introduce so much about the Duke and his attitude towards women. Note the possessive use of "My" at the beginning of the title. This seems to foreshadow the complete control and mastery of his wife that is made clear from the poem, whilst also indicating the way that he saw his last wife as a possession, much like the statue of Neptune taming a seahorse that he moves on to showing the envoy at the end of the poem.
Interestingly, the middle word, "last," seems to suggest that this last duchess is just one of a string of many duchesses, as it implies that there were others before this last duchess and will be more in the future. This helps present the Duke's attitude towards women because they are presented as disposable objects. He disposed of his last one and is now trying to obtain another. They are not permanent fixtures, and ironically it seems that the painting is more important and valued by the Duke than his last wife ever was.