If it were the other way it would tighten with use and eventually strip the threads or crack the wood top. Anyway it's an almost unbelievably petty bit of cooking technique but there is actually a "correct" way to hold and turn a pepper grinder lol.

Your palm is meant to hold the nut in place. On the old ones the tightness of the nut was the control for fineness so it was necessary to hold it as you turned anyway. They moved that control to its own thing on the bottom a few decades ago (iirc) but kept the rest of it the same.