(0) An axiom is an internal statement to a mathematical theory that is assumed to be true. That is, inside of a mathematical theory, you don't need to prove that its axioms hold. However, if you want to construct a model of a mathematical theory, you need to prove externally that the axioms hold. In return, you get the theory's theorems (suitably interpreted) for free.
(1) A rule of inference exists in an external metatheory, where the original mathematical theory we were studying is treated as a syntactic object (also known as object language), in very much the same way a compiler treats the program being compiled as a (possibly annotated) syntax tree. A rule of inference defines a class of valid syntactic transformations, but doesn't concern itself with the impact of these transformations have on the meaning of the phases in the object language.
It is perfectly sensible to consider the effect of changing the rules of inference, on an axiomatic system.