Just from looking and "blue wire ECHO output" I'd guess the hole links to leg 24 of the PICAXE, Output Pin 3. Turn the board over and there should be a track showing such a connection, or use a continuity tester / DMM. You can confirm that - or determine the same - by looking at the program code; does it perchance happen to use Output Pin 3 for "ECHO Output" ?
You mention "documentation" but what documentation ?
What seems odd is that "ECHO Output" would seem to come from the U/S board, and "Trigger input" goes to the board - Yet this seems wired opposite to that, so shouldn't work; though it would with a PICAXE-28X2 - Unfortunately you don't say what PICAXE you are using.
If that's an SFR004 board ( again, you don't say what it is ) the blue wire goes to the "Trigger Input", yellow wire comes from "ECHO Output" which makes more sense.
So perhaps the real question is "What have I got here" ?
I'd say Blue wire is Output Pin 3 to U/S Trigger Input.