Q: Can I play a Surprise to cancel a win caused by using Wormhole?

A: While using the Wormhole Rule (or any of it’s analogues) is not affected by Surprises, the card that is drawn and played because of Wormhole IS affected by them. So if the card drawn from Wormhole that caused the win 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 it 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?

Analogues of Wormhole (found in Star Fluxx) 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:
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