Let $L$ be a first order language and $A$ be an L-structure. Let $\sigma$ be an L-sentence.
In most of the mathematics I have seen a structure is defined by the axioms it satisfies. These may or may not be expressible as first order sentences. For instance groups have a first order axiomatisation where as the axioms of a topological space are not entirely first order. So I would say $A \models \sigma$ just when there is a proof (not necessarily a formal first order proof) of $\sigma$ from the axioms of $A$. So to me a structure always comes with a set of axioms it satisfies.
Somehow in the model theory I have read the situation seems to be inverted. We are given a structure and are asking whether we can find a (first order) axiomatisation for it? But how then is a structure defined, if not via some kind of axiomatisation? In order to even talk about a structure it seems to me one has to have some kind of axiomatisation already in mind. Concretely, I believe, Gödel showed $Th(\mathbb{N})$ isn't (first order) axiomatizable. But how, if not by some kind of axioms (e.g. PA), is $\mathbb{N}$ defined?
The only way I see out of this is that structures are defined by axioms ( maybe not first order expressible) and model theorists ask when a first order axiomatisation exists. Is this the full story?
Does anyone see what I am missing? Many thanks!