The term wormhole refers to a (theorized) connection between two regions of space (presumed to be curved, as per general relativity) other than the usual space between them. In effect, it would constitute a shortcut. A two-dimensional analog would be a torus (i.e., doughnut shape), as opposed to a plane or a spherical shape: on a torus, there could be situations where you are within a walled area, yet there still exists a way to follow the surface to a point on the other side of the wall without penetrating the wall. A wormhole does the same in three dimensions.
No wormholes are known and they are generally thought to be non-existent or part of extremely exotic situations unlikely to be encountered, but though a universally flat space would have preclude them, the fact that space is curved allows further theorizing. There are multiple theories of wormholes, based on general relativity or similar theories of gravity and space-time that define what sort of curvature space has. 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.