Mentioning that my paper extends my project X: compatible with double-blind review?
Yes, refer to Project X without stating that it is yours.

In my field, instructions to authors for conferences that are double-blind reviewed often say:


  Do not omit references to provide anonymity, as this leaves the reviewer unable to grasp the context. Instead, a good solution is to reference your past work in the third person, just as you would any other piece of related work.


In reality, of course it is often obvious that the paper under review is likely to be an extension of the cited work by the same author. However, as an author, it is not your responsibility to make sure that the reviewers can never identify you. It is only your responsibility to


  make a good-faith effort to preserve the anonymity of your submission, while at the same time allowing the reader to fully grasp the context of related past work, including your own. 


Citing your own previous work in the third person is a good faith effort to preserve anonymity, and (at least in my field) that's all that's required.