Often times, it is difficult to remove an axle from a yoyo. Some people say to use a pliers, maybe putting tape on the axle to prevent wrecking the threads. Here’s a safer method.
Try the “double nut” method. You thread on two nuts, tighten them to each other, then just put a wrench on the lower one. This is done by holding the upper nut in place while tightening the lower nut to it. With the nuts locked apply force to the lower nut in the correct direction to loosen.
This comes up enough that it deserves a topic. It has been added to the How to Do Stuff sticky.