@AgentKuga I thought so too, plus the knife's handle is probably some rubber/plastic type so electricity shouldn't be able to pass through the handle. Lol I mean, she did say common sense don't work in this world.
@AgentKuga@Kake water itself is no conductive, but running water will always have elements that do conduct electricity and as such water could conduct electricity. Salt water is a great example of this, but basically any body of water found in the wild has the capacity of being able to do it. But as @Kake said, common sense doesn't apply to this weird world.
@Kake Pick up your kitchen knife. The grip is just an extension of the blade with pads crewed to the sides of the base. The metal of the grip is still exposed directly. This, BTW, is why one of the more common cases of electrocution in the world is someone poking the wall plug with a kitchen knife.
I think the worms work like insulated batteries. She cut through the skin, that's why she was electrocuted. The charge was sufficient to jump to her hand but not past that.
On top of some of the other considerations already mentioned, let's note that, while it's natural to think that the fluid is literally water, it may not be. (If it is, then I think that @sssr has offered the best explanation.)