What does 'ü' mean in song titles?

It’s the metal umlaut invading other genres of music.

Briefly, in the seventies, metal bands started adding diereses (and other diacritical marks) to their names or song titles to look mean, German, soft, cool or whatever (the reasons are not always known and vary from band to band). This phenomenon was named metal umlaut. While it was never limited to metal, it now appears to have invaded pop.

Note that two dots (dieresis) can also be used in English to indicate that two vowels following each other are not a diphthong (e.g., in reüse), but this is rarely done nowadays.

The double-dot-over can be either an umlaut or a diaresis. The umlaut signifies a different (often longer) vowel in German. The diaresis signifies that a vowel begins a new syllable.

As an umlaut, it will like other accents, only appear on loanwords such as Götterdämmerung or Café.

However as a diaresis it is perfectly permissible in English, in words such as naïve (pronounced na-yeve, not nave) or coöperate (pronounced as co-operate not cooper-rate).

Note that in English a vowel with a diaresis is not considered a separate letter from its unmodified form.