I found Theon Greyjoy (F38, Princes of the Sun) have "if able." at the end of the last line. But I can't understand why have this word? Because of he names "character" or "location" card type, and then he choose and discard a card of named type. Or Can he names a type which he doesn't have in play yet on purpose, and then he need not to discard it? or I am wrong.

No, you're right. If you have some characters in play and no locations and you lose a challenge by 4 or more total STR with Theon in play, you could name "location" and not have to discard anything. ktom can correct me if I'm wrong, but I believe that without the "if able" part you would have to discard one of your characters since naming "location" and then discarding one could not be done successfully if you controlled no locations. The additional "if able" clause allows you to fail at fulfilling the discarding part of Theon's effect.