In Holland we have the word schat which also means treasure (and loved one).

As an extension of schat we also have schatkist, which means treasure chest, which is also used as the translation for treasury.

When I look up the meaning of schat the dictionary says: A large collection of valuables. I see how an organization gets named after the very thing they are supposed to handle.

skat/skatt is common to danish/norwegian/swedish, and in all countries it means both taxes and treasure. In danish/norwegian it also means loved one, but swedes would miss that point.

The danes have chosen to name their tax authority not "skat authority" or something like that, just "skat" which evokes the friendly/funny pun.