When Dethorin found his lady, Allurana in the arms of another, he went to the Barrens and cried out. An axe burst forth from the sands as if in answer. Dethorin slew Allurana and her lover, then hurled the axe with all his might into the deep dark sea. -WC3
After this, it is safe to say that the axe was found by the sea giants and given to their Sea King, for Rexxar finds it when he slays him on the Echo Isles. How it came to be lost since seems to be unknown, if indeed it's the same axe.
This item is a world drop.