This is a question about the order of words when a common name is associated to a proper name. Does it matter to say "California Hotel" rather than "Hotel California"? Similarly, there are two filmmaker brothers usually referred to as "the brothers Quay", which seems less common than "the Coen brothers". As a non-native English speaker, I'm interested to know is there's any difference, and which form is more natural or correct.
All examples you mention are correct in their uses, especially since they're proper nouns (names of things/persons), and don't exactly follow "the rules."
In general, "the brothers Quay" and other similar "backward" constructions are considered archaic or out of fashion, more popular about 100 years ago or more. However, some may still choose to use these now unconventional constructions on purpose to achieve certain effects (i.e., make the name sound cooler).
In the case of "Hotel California", you should never say "California Hotel", since the former is the name of the song. That is to say, rather than looking for a concrete rule, you should determine the "correct" construction depending on the context. It really depends on who named the object/person. For example, "Ramada Inn" (a popular hotel chain) is never called the "Inn Ramada". Its name is Ramada Inn, and that's how it's always written.
The only real difference is that the first word is generally considered the noun, and the second the adjective modifying that noun. So in Coen brothers, you are talking about some people named "Coen" who are further distinguished by being brothers (rather than married, or cousins or something). In brothers Quay, you are talking about some brothers, who also happen to have the name "Quay".
Effectively in the first you are emphasising the name, whereas in the second sentence you are emphasising the relationship.
English normally puts the adjective before the noun, though there are a number of "set phrases", such as the body beautiful that don't follow the rule. Per @ShreevatsaR's comment, the standard word order is sometimes inverted for stylistic reasons (not recommended for non-native speakers).
In constructions such as the Coen brothers, arguably both words are nouns, but I for one would say that they're primarily brothers, and that Coen is effectively an adjective telling us which particular brothers we're talking about. This reflects the normal usage.
In this context, The Brothers Grimm is an idiomatic usage probably affected by the fact that the Grimms weren't actually English. Many other languages (particularly European ones - and, surprisingly enough, American Sign Language) normally place adjectives after nouns.
Specifically addressing OP's question as to which order is "correct" where there's an ordinary noun and a proper name, the answer is that by default the proper name should come first. Unless you're already aware that the more common sequence for that particular pair inverts the normal order.