Even if you haven't read the Book of Exodus, you've probably heard about Moses' beef with the Egyptian Pharaoh.
Here's the TL;DR version, if not: the Egyptians enslave the Israelites, leading Moses to inflict a series of plagues from God on the country until they are freed. As it happens, Plague No. 8 is a storm of locusts, which presumably inspired the title of The Day of the Locust.
This suggests a few things. First, it implies that the novel will be concerned with freedom and enslavement. This is certainly true, as West seems to see the American Dream as a way for the powers that be to control the masses. And by American Dream, we're really referring to the weird Hollywood version of it: come to California, make it on the big screen, get rich, live a fantasy life. What most people actually find is disappointment, cruelty, and death.
Second—and perhaps most importantly—it evokes the dark, apocalyptic imagery that's The Day of the Locust's bread and butter. After all, it's not hard to see the connection between a plague of locusts descending on a city and the massive riot that closes the book. In fact, maybe Hollywood is just so corrupt that it needs a plague to clean to it up.
And here's a little bonus for y'all: Plagues No. 9 and 10 are complete darkness and the death of all firstborn children. Although it might be a stretch, we think this implies that the worst is yet to come after The Day of the Locust ends. "The Burning of Los Angeles," anyone?