Probably your parents setting it up?
As far as I know, Worms is a normal DOS game, so the only way for that to happen should be a DOS install configured to just auto-start Worms on boot. Which makes sense as a way to keep a kid away from anything that could cause trouble.
I very vaguely recall that there used to be a very few PC games that worked as boot floppies and possibly didn't use DOS at all, but it was a rarity and Worms definitely wasn't one.
No, I set it up. My parents were non-technical. I had a CD-ROM re-release of Worms for DOS from one gaming magazine or another. I guess the installer set it up somewhere somehow but I remember it wasn't easy to get it installed and there were further problems trying to launch it. It's possible the installer itself was a DOS program, not a Windows program.
I bet it wasn't actually the bootloader but something with autoexec.bat - you could setup choices in it and windows was just one launch option.