OK I’ll explain, this is not obvious for a newbie and -B option docs and features are rich and complex (but must be studied anyway!). GMT isn’t an easy tool.
Standardized command line options, Axes settings:
+l|+L label (for Cartesian plots only) to add a label to an axis. +l uses the default label orientation; +L forces a horizontal label for y-axes, which is useful for very short labels.
GMT only adds x/y axis labels only for Cartesian plots, not for geographical lon/lat. GMT basically disregards your x/y labels for geographical plot coordinates.