Why is the palace of Knossos known as the House of the Double Axes?

It is not connected with double axes, it is connected (to some extent) with a double headed axe.

In Greek mythology, King Minos dwelt in the palace of Knossos, where he had Daedalus construct a labyrinth (named for the double-bladed axe, or labrys) in which to retain his son, the Minotaur confined.

Hence the name of the fabled labyrinth maze is the connection with an axe.