The scientific meaning of the word "theory" differs from the generally accepted use of the word. Specifically, a scientific theory is reliable, rigorous and comprehensive (thanks Wiki!) which means it can be accepted as proven through mathematical rigour and consensus within the community. Physical proof is just another element of that rigour. The more general use of the word is analogous with the scientific use of the word "hypothesis". So Einstein's Hypothesis of General Relativity would require proving, through one of a few different ways, be it mathematical or observational, before it could be accepted (amongst the scientific community at least) as a Theory.