Worm (or Dionin, its fan-given nickname) is one of the unused colossi that did not make it into the final release of the game.
According to the artbook, "The flower bulb-like section was its weak point." Besides that, there isn't any other information, making this one of the most mysterious unused colossi.
According to an old Team Ico Gamers Blog post, the colossus was removed for being too powerful and because it required a huge arena to be able to dodge its attacks.
The location where Worm is believed to have been located is at quadrants B2 and/or C2. In the Preview and PSU Preview demos, a remnant of a desert-like area bordered with cliffs remains at B2, which is believed to be a small leftover of the colossus' arena.