Depends what you mean by a "hole through space"? Yes, its a physical passageway that itself consumes space, like a physical tunnel you would drive your car though. The magnetic field is traveling through space, through a shielded device that also takes up space.

Think of this like Fiber Optics, they are "wormholes" for light, or Electronic wires, they are "wormholes" for electricity. The wormhole is just a metaphor for the illusion.