Taken as a whole, lapis lazuli means "stone of Lāzhward/Afghanistan".
The name of the place came to be associated with the stone mined there and, eventually, with its color. The English word azure, the French azur, the Italian azzurro, the Polish lazur and the Spanish and Portuguese azul are cognates. From Wikipedia
I recently heard a wonderful lecture given by Brian Baade, "Secrets of the Old Masters," at the Philbrook Museum of Art. He is a painting conservator and artist. He not only analyzes, but actually reconstructs paintings using historically accurate techniques. I found the history of lapis lazuli especially intriguing.
Mined in Afghanistan for centuries, it has always been rare and expensive. Pre-Renaissance painters' cities had to buy the mineral and keep it safely stored. If a painter received a commission to depict the Virgin Mary and infant Christ, for instance, the contract between the artist and his patron was shown to the magistrates who apportioned the lapis to the artist. Because it was so precious, perhaps costing $10,000 per pound, the artist put an undercoat of cheaper color under the lapis. Through time, some brilliant blues have oxidized into darker blue shades.
Egg tempera painted on wooden panels seemed to preserve the brilliance of the color. Southern European artists usually used poplar wood for panels, northern ones used oak panels. Lapis varies from azure-blue to deep-blue gemstone of lazurite.
Today, this magnificent color has been produced synthetically, like all earlier, costly colors, making it accessible to painters everywhere.