It was done most likely to reduce spoilt ballots.
In Iceland votes are cast by writing or stamping the letter of the party list on the ballot paper. The letters are chosen by the ministry of Justice, following consultation with the Parties. Some parties would like to choose the first letter of their name. For example, the Social Democratic Alliance Samfylkingin uses "S". Using American party names, if Democrats were "D" and Republians were "R" and one voted by writing "D" or "R" on the ballot. Other parties seem to try to be near the top of the list by choosing "A", "B" or "C". Bright Future
Björt framtíð use "A".
Previously the Pirate party had used the "Thorn" (a regular and common letter in Icelandic), apparently because it looks similar to a pirate flag. This could have resulted in spoilt ballots, as voters might expect the "P"irate party to use "P". (suppose the Democrats had decided to use the letter "O", the potential for confusion and people writing "D" in error is clear.
The Pirate Party logo, based on one from Sweden, originally represented a "P", but to Icelandic eyes may look closer to a "Þ", The graphical similarity of the letters cannot have lessened the potential for confusion. It may also indicate the development of the party from a fringe organisation to a mainstream movement.