The House Azure

In "Citadel" after Severian and the Old Autarch crash in the flier, Severian recalls the time when he first met the androgyne. He also comments that he is beginning to understand why "his establishment in the Algedonic Quarter" is named the House Azure. Unfortunately, I don't preceive this reason, and would like some further insight (or at least the archive volume where it was discussed before, if this is the case). Thanks, Xury