The idea that electromagnetic waves need something to travel through was only disproved around the turn of the 20th century. The medium that was conjectured for light as air is for sound was called [luminiferous aether](https://en.wikipedia.org/wiki/Luminiferous_aether), and its name is memorialised in ethernet where (in the original design) the single co-axial cable linking all the machines fulfilled the same role.
The existence of luminiferous aether was strongly argued against by the [Michelson-Morley Experiment](https://en.wikipedia.org/wiki/Michelson–Morley_experiment) in the late 1880s, which showed that the speed of light is constant in every direction and therefore cannot be influenced by the earth’s passage through a stationary aether. It’s not a proof: you can conjecture something aetherous-like which would still “work” with the Michelson-Morley experiment (perhaps the aether is dragged along by the earth?) but such things look like special pleading. [Special relativity](https://en.wikipedia.org/wiki/Special_relativity), published 1905, and its various confirmatory experiments killed aether off completely.
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