Probably because it's easier to remember the titles that way, for people that don't do Chinese anyways. I can say that C.U.G is written on box of Xi You Ji, so that's at least one official romanized name for it, so to speak.
[F-002] Wu Jiang Zheng Ba - San Guo Zhi (Sango Fighter) [F-003] Xie E Zhi Zi (The Son of Evil) [F-004] Yin Su Fei Long (Speedy Dragon) [F-005] Chao Ji Zhong Hua Zhi Bang Lian Meng (Super Taiwanese Baseball League) [F-006] Xi You Ji (C.U.G) [F-007] Chao Ji Guang Ming Zhan Shi (Super Dragon Force) [F-008] Fei Zhou Tan Xian Da Fu Weng (Monopoly: Adventure in Africa) [F-011] Bao Bao Dong Wu Yuan (Boom Zoo)
my opinion is that we should use both titles. something like "Yin Su Fei Long ~ Speedy Dragon"
this is a typical example of why I don't think that strictly sticking to the title screen is the correct approach for console games: when the title on the box and the one in the title screen heavily differs, we should list them both in some way...