I think a really interesting composer to do that would be Schumann (e.g. Carnival, Woodland scenes or Scenes from childhood) since all of these cycles have evocative titles and encrypted information (for instance Carnival has encrypted information about the town of Asch and about his then fiance Ernestina, besides it would be fun to paint a masked ball).
The other composer that comes to mind is Debussy, who also has interesting, evocative titles to most of his pieces (which he usually prints at the end, since he claimed that only after he finished the piece did the title occur to him).
Finally, if you look at Couperin’s “ordres”, they all have programmatic titles (mostly veiled references to his contemporaries who would understand what he was referring to). I have recently seen a book in a music shop that (tries to) explains what the mysterious titles are all about. I will look it up tomorrow and post it.
Best wishes,
Bernhard.