My theory on the title...

Naked Gun is based on a short lived show called "Police Squad" hence "From the Files of Police Squad".

It's my theory that the series was never meant to be called "The Naked Gun" but instead the sequels, if the film was a success, would be called something else with the "From the Files of Police Squad" after it. Like the Indiana Jones movies, "Indiana Jones and the..."

The movie was a surprise hit and people referred to it simply as The Naked Gun. Nobody even called it by it's full title. Going forward, for brand recognition, they had to call the sequels "The Naked Gun" as well.

Why is the first one called "The Naked Gun"? I believe it's analogous to an assassin out in the open that doesn't know they're an assassin. They're exposed and they're a killer. A naked gun.