I validated the answer of Qiaochu Yuan as the accepted answer because it helped me recover what is implicitly meant in the quoted text.
I add this answer as a detailed explanation of the source of confusion, I think it can help other people.
- When Chern wrote
The tangent bundle over $M$ has the local charts $(x,y_U)$, $x∈U$, $y_U∈T$, which are the local coordinates of the tangent vectors relative to $U$.
I thought he meant canonical charts of the tangent bundle, i.e. charts that are associated to a diffeomorphism $\phi: U\to U'\subset \mathbb{R}^n$ and where $(x,v)$, $x\in M$, $v\in T_x M$ is mapped to $(\phi(x),(D_x\phi)(v))\in \phi(U)\times \mathbb{R}^n$. Note that the action of $GL(n,\mathbb{R})$ introduced at the beginning yields an identification from $T$ to $\mathbb{R}^n$, and $\phi$ allows to identify $U$ and $U'$, so we can identify $U'\times \mathbb{R}^n$ with $U\times T$.
With this belief, the definition looked wrong: for instance Riemannian metrics are supposed to correspond to $G=O(2)$. Take the unit Euclidean sphere centred on $0$ in Euclidean space $\mathbb{R}^3$ with the induced Riemannian metric. With this belief, $g_{UV}$ is the composition of the differential of two manifold charts.
Consider two charts on, for instance $(x,y,z)\mapsto(x,y)$ when $z>0$ and $(x,y,z)\mapsto(y,z)$ when $x>0$. The change of charts is $(x,y)\mapsto(y,\sqrt{1-x^2-y^2})$, and its differential at $(x,y)$ does not belong to $O(2)\subset GL(2,\mathbb{R})$.
Still with this belief, a way to fix it would be to ask that on every canonical chart one chooses for all $x\in U$ a frame $f_{U}(x): \mathbb{R}^n \to T$, with the compatibility condition
$$ f_{V,x}^{-1} \circ g_{UV}(x) \circ f_{U,x} \in G . $$
- However, what he actually meant is a vector bundle chart, in the sense of this link.
This may sound even more confusing before one understands that he is not allowing us to take all vector bundle charts. If he would, then the discussion above would still apply, just worse.
Actually he meant to define a $G$-structure via a special atlas on the tangent bundle seen as a general vector bundle, such that the transition maps between fibres belong to $G$; this is the spirit of $G$-bundles, see this link. This is called a $G$-atlas. This is in the spirit of the difference between topological manifold, smooth manifold, complex manifold, etc., where one asks transition maps to belong to different classes. In particular, here, two $G$-atlases are said to define the same $G$-structure whenever they are compatible, and this is equivalent to say that their union is still a $G$-atlas.
- I will end this description by relating it to another definition of $G$-structure that I recomposed by reading various sources.
Given a manifold $M$ of dimension $n$, and a subgroup $G$ of $GL(n,R)$ (*), a $G$-structure is the choice for each $x\in M$ of a subset $F_x$ of the set $\cal F(\mathbb{R}^n,T_x M)$ of frames $f:\mathbb{R}^n \to T_x M$ ($f$ bijective linear map) with the condition that $F_x$ is a whole and single orbit under the action of $G$ on $\cal F(\mathbb{R}^n,T_x M)$ by right-multiplication (pre-composition) by $g\in G$.
Continuity/smoothness conditions can be added.
(*) Often $G$ is a Lie subgroup of $GL(n,R)$; on the other hand, one can generalize the notion where $G$ is any group and were we take a group morphism from $G$ to $GL(n,R)$
The relation is as follows: the set $F_x$ is of the form $f G = \{f \circ g; f\in \cal F(\mathbb{R}^n,T_x M),\, g\in G\}$ where $f$ is not unique (it can be replaced by any $f\circ g$). One can locally choose a particular $f$ for every $x$, in a continuous/smooth fashion and this defines a local trivialization (vector bundle chart) of the tangent bundle, and those trivializations satisfy Chern's condition.
$g_{UV}(x) \in G$
TL;DR
Chern is not using canonical charts of the tangent bundle but defining a $G$-structure as a $G$-atlas in the sense of $G$-bundles.