From the “Grapedia” on the Fan Club site, here’s the gist of how the name came to be —

e-zuka suggested something putting “velvet” and “spiders” together. Kiiyan countered with “rodeo spiders,” which was rejected by e-zuka as sounding too much like a biker gang. A little more back and forth and GRANRODEO emerged victorious.

The name has been messed up over the years, with them being called GRAND RODEO in festival listings and … Rodeo Grand at a particular bar.