usually (for me at least!) it means a multi color yarn.
it can be a self stripping yarn --long expances of color (slow color changes--like Noro, or Paton's SWS)
or what used to be called ombres (from the latin umber=shadow) where you have white/light/medium/dark blue)
or Varigated (red/yellow/green/blue/purple)
or even a hand painted yarn, or a Near solid.. (hand dyed and done so that there is UN EVEN color uptake.. so some parts are darker/lighter than others.
all these different types of NON SOLID colored yarn can be called a 'colorway'!