A macroscopic model of two-phase flow of compressible liquids in a compressible double porosity medium is developed and used to analyse various qualitative mechanisms of the occurrence of memory (delay). The two main mechanisms are non-instantaneous capillary redistribution of liquids, and non-instantaneous relaxation of pressure. In addition, cross effects of memory arise, caused by asymmetric extrusion of liquids from pores due to phase expansion and pore compaction, as well as nonlinear overlap of compressibility and capillarity (non-linear extrusion). To construct the model, the asymptotic method of two-scale averaging in the variational formulation is applied. Complete averaging has been achieved due to the separation of nonlocality and nonlinearity at different levels of the asymptotic expansion. All delay times are explicitly defined as functions of saturation and pressure.