Wormhole refers to a theoretical connection between two regions of space (presumed to be curved, as per General Relativity) other than the usual space between them. In effect, it could be a shortcut. A two-dimensional analog would be a torus (i.e., doughnut shape), as opposed to a plane or a spherical shape: with a torus topology, like space that includes a wormhole, there could be situations where a wall totally surrounds you yet there still exists a way to reach a point beyond the wall without going through the wall.
There are multiple theories of wormholes, based on general Relativity or similar theories of Gravity and space-time. A Schwarzschild Wormhole (or Schwarzschild Throat) and an Einstein-Rosen Bridge are two types. Despite the reference to travel through a wormhole in the description above, for some wormhole theories this would be impossible, e.g., the presence of your mass within it would make it collapse before you could possibly get through.