Here's a fuller picture, assuming that you, like I, cannot visualize 4 dimensions.
What you can visualize are two separate complex planes, the $w$-plane and the $z$-plane.
A path in $Y$ is equivalent to a pair of paths $w(t)$ in the $w$ plane and $z(t)$ in the $z$ plane, $t \in [0,1]$, subject to the constraint that
$$w(t)^2 + 1 = z(t)^4
$$
You can use path lifting theorems from topology to study this situation. Here's an outline.
The point where $z=0$ has two corresponding $w$ values, $w=\pm i$, giving two points $(z,w) = (0,\pm i)$ in $Y$. Also, the point where $w=0$ has four corresponding $z$ values, $z=\pm 1, \pm i$, giving four points $(z,w) = (\pm 1,0), (\pm i,0)$. That gives 6 special points in $Y$, a subset I'll denote $Q \subset Y$.
If we let $p_w : Y \to \mathbb{C}$ be the projection to the $w$ plane, and if we let $Q_w = p_w(Q) = \{\pm i, 0\}$, then the map $p_w : Y - Q \to \mathbb{C} - Q_w$ is a degree 4 covering map.
Similarly, if we let $p_z : Y \to \mathbb{C}$ be the projection to the $z$ plane, and if we let $Q_z = p_z(Q) = \{0,\pm 1, \pm i\}$, then the map $p_z : Y - Q \to \mathbb{C} - Q_z$ is a degree 2 covering map.
Any path $\gamma(t)=(w(t),z(t))$ in the punctured surface $Y-Q$ can be thought of as a lift via $p_z$ of the path $z(t)$, or as a lift via $p_w$ of the path $w(t)$.
So, pick some base point in $Y-Q$, say $(z_0,w_0) = (2,\sqrt{15})$. Pick any other point $(z_1,w_1) \in Y-Q$. Imagine a path $w(t)$ that starts at $w_0=\sqrt{15}$ and wanders around in $\mathbb{C}-Q_z = \mathbb{C}-\{0,\pm 1,\pm i \}$; using path connectivity you can clearly get to $w_1$. Lift the path $w(t)$ up to $Y-Q$ and project down to a path $z(t)$ $\mathbb{C}-Q_z$. You might get lucky and hit $z_1$, but because the map $p_z : Y-Q \to \mathbb{C}-Q_z$ is 2-to-1 there is one other possibility I'll denote $z'_1$.
So, can you find a closed path in $\mathbb{C}-Q_z$ from $w_1$ to $w_1$ whose lift to $Y-Q$ projects to a path in $\mathbb{C}-Q_z$ from $z_1$ to $z'_1$?
If so, you win, you've proved $Y-Q$ is path connected and so $Y$ is path connected.