This is just a guess, but I'd wager the proper designation of this figure would be "Great Hero Lio Convoy", because グレートヒーロー translates to Great Hero, and a google search reveals several pictures of this figure and others that share similar qualities. Even found a yahoo japan auction and amazon listing with that [translated] description.
*Edit* Little bit of further research on a blog entry says that "Great Hero" is a brand name of soft vinyl dolls in Takara sponsored "Cyber Adventures Chronicles Web Diver" and "Sentimenal Journeys" (????). They also made G1 Prime, G1 Galvatron, G1 Rodimus and BWII Galvatron in this style, at the very least.