This paper proposes a novel data-driven approach to designing orthonormal transform matrix codebooks for adaptive transform coding of any non-stationary vector processes which can be considered locally stationary. Our algorithm, which belongs to the class of block-coordinate descent algorithms, relies on simple probability models such as Gaussian or Laplacian for transform coefficients to directly minimize with respect to the orthonormal transform matrix the mean square error (MSE) of scalar quantization and entropy coding of transform coefficients. A difficulty commonly encountered in such minimization problems is imposing the orthonormality constraint on the matrix solution. We get around this difficulty by mapping the constrained problem in Euclidean space to an unconstrained problem on the Stiefel manifold and leveraging known algorithms for unconstrained optimization on manifolds. While the basic design algorithm directly applies to non-separable transforms, an extension to separable transforms is also proposed. We present experimental results for adaptive transform coding of still images and video inter-frame prediction residuals, comparing the transforms designed using the proposed method and a number of other content-adaptive transforms recently reported in the literature.