If it's applied to an act of theft, then why is the last word of the expression 'grand theft auto' is 'auto' instead of 'theft'? It's constructed as if it's 'auto' modified with 'grand theft', i.e. an auto that has been "grand-thefted", so to speak. Why is the word order so unusual?
"Grand theft" was historically used in the U.S. legal system (or at least in popular depictions of it) to denote theft of goods valued more than a certain amount (typically $1,000, which was consequentially called "one grand"), with theft of lesser valued goods considered "petty theft".
"Grand theft auto" is therefore the theft of an automobile worth more than $1,000.
U.S. laws, and the names they give to different offenses, vary from state to state, and have changed since the term "grand theft" was popularized, but the term is still well known in American popular culture, even if it is no longer in current use in the laws of most U.S. jurisdictions.
Why is the word order so unusual?
Looking into Google Ngrams results for the phrase, we find that many of the earliest records of the terms are in tabulations of crime statistics, with "grand theft (auto)" just being one sub-category of grand theft.
In this case the unusual word order may have kept the different kinds of grand theft neatly together in the alphabetic listings. For example, in the 1938 Annual Report of the Los Angeles Police Department:
However we also see the same word order when the term is used in general text, for example in the "Reports of cases determined in the courts of appeal of the state [of California], Volume 222"(1963),
Whether the use of the inverted word order was meant (in the initial law codifying "grand theft auto" as a crime) simply to keep the term alphabetically similar to other types of grand theft, or whether the word ordering was influenced by the Latin often used in legalese, I am not sure.