As Mark44 said, graphing them would help. For surface X, z^2= x^2+ y^2+ 1 and in cylindrical coordinates that is z^2= r^2- 1 or r^2- z^2= 1. In the "r,z" plane, that is a hyperbola with r axis as axis of symmetry. Rotating around the z-axis, then, we have a "hyperboloid of one sheet". For the surface Y, z^2= x^2+ y^2+ 1 or z^2= r^2+ 1 which, in the 'r,z-plane" is z^2- r^2= 1, a hyperbola with the z axis as axis of symmetry. Rotating around the z-axis, we have a "hyperboloid of two sheets".
Given two points on surface X, say (x_0,y_0, z_0) and (x_1,y_1,z_1) we can draw the straight line from (x_0,y_0,z_0) to (x_0,y_0,z_1), then a straight line from that point radially inward to (x_3,y_3,z_1) where y_3/x_3= y_0/x_0 and \sqrt{x_3^2+ y_3^2}= \sqrt{x_1^2+ y_1^2}. Finally, a circle with center at (0,0,z_1) and radius \sqrt{x_1^2+ y_1^2} will take us to (x_1,y_1,z_1) while staying on the surface.
For surface Y, z^2= x^2+ y^2+ 1, or z= \pm\sqrt{x^2+ y^2+ 1} which makes it clear that there is no point on the surface with -1< z< 1. Any point (x_0,y_0,z_0) on the surface, with z> 0, can be written as z_0= \sqrt{x_0^2+ y_0^2+ 1}. Another point on the surface is (x_0, y_0, -z_0). Since no point on the surface has z between -1 and 1, it is impossible to connect those two points by a continuous curve.