The story
From PX (“Post Exchange of the U.S. Military”) + store, due to the initially illegal import trade in the then-US military bases in the Philippines, particularly Pampanga's Clark Air Base and Subic Naval Base in Subic Bay. Its illicit trade died out when trade was liberalized around the 1990s, opening the door for legal freeport zones in Clark and Subic Bay for more legalized imported goods in duty-free stores and supermarkets instead.
Etymology from Wiktionary, CC BY-SA 4.0.