A: It depends which Surprise you have, and when you play it.

If you have the promo No Free Lunch, found in the More Surprises pack, you can play it to prevent someone from utilizing Wormhole (or any of its analogues, see below). The trick is, you’d have to play No Free Lunch when they declare they’re using Wormhole, but before they reveal the card – you can’t wait to see whether it makes them win to declare you’re using No Free Lunch.

On the other hand the card that is drawn and played because of Wormhole is affected by any of the “standard” Surprises. So if the winning card played because of Wormhole was a Goal, then Canceled Plans would be able to prevent the win, since it cancels Goals. If the card played was a Keeper, you’d need to use the That’s Mine in order to stop the win.

Of course, you can’t cancel any of these if YOU are the one who is using Wormhole.
See Can one ever use the “out-of-turn” function of a Surprise during one’s own turn? (spoiler alert: no)

Analogues of Wormhole include (some with slight variations such as conditional requirements for use):
Magic Shoes in Oz Fluxx
Egads! in Batman Fluxx
Magic Portal in Adventure Time Fluxx
Shiny! in Firefly Fluxx

the following have a Wormhole analogue, but do not have Surprises naturally occurring in the deck (though they can be added if you pick up the More Surprises pack):
Mystery Play in Fluxx 5.0 and SE
Time Doorway in Regular Show Fluxx
Open The Door in Monster Fluxx
Chemical X in Cartoon Network Fluxx
Great Idea! in Stoner Fluxx