Its really hard if not impossible to grasp for us 3 dimensional beings with minds built to think in 3 spatial dimensions. That’s where the pen and paper analogy tries to compress it down to 2 dimensions, so that we, in that example higher dimensional beings, can see the third direction that allows the 2 dimensional space of the paper to fold and join two points.
To truly and intuitively understand how a wormhole would connect two places in our 3 dimensional space we’d first need to understand how a 4th dimension fits into our 3.
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