We present the analysis of Blazhko-type modulation in double-mode RR Lyrae (RRd) stars found in the Optical Gravitational Lensing Experiment (OGLE) photometry of the Galactic bulge. Modulation is detected in 15 stars. Most of them have non-typical period ratio of the radial modes. In the Petersen diagram, at a given period of the fundamental mode, they are located significantly below or above the sequence formed by the majority of RRd stars. Multiperiodic modulation is very frequent; two or three modulation periods are detected in eight stars. Modulation periods vary from similar to 20 to more than 300 d. Radial mode amplitudes can be modulated by a few to nearly 100 per cent. Both radial modes may be modulated with the same period. More commonly however, dominant modulation for the fundamental mode has different period than dominant modulation for the first overtone. Quite often modulation of only one mode is detected in the data. We find a clear feedback between pulsation amplitude of the dominant mode and mean stellar brightness: the lower the pulsation amplitude, the brighter the star. At phases of low pulsation amplitude, the mode periods are prone to fast changes. All the stars share the common feature: their pulsation properties are non-stationary. Amplitudes and phases of the radial modes vary irregularly on a long time-scale of a few hundred or thousand days. The short-term modulations are also irregular. One of the stars has switched the pulsation mode recently: from single-mode fundamental mode pulsation to RRd state. In other star the non-radial mode with characteristic similar to 0.61 period ratio to the first overtone is detected. This non-radial mode is likely modulated with the same period as the radial modes.