Towards the end of "Matilda" (1996), when the Wormwoods come to pick up Matilda from Miss Honey's House, they say they are moving to Guam to escape the FBI since they have been caught. But why Guam? Because Guam is a U.S. Territory and the FBI has Jurisdiction there.
As an in universe explanation, I think it would be that they hoped they wouldn't be found there, as it's so far away. From what I remember the Wormwoods weren't the brightest tools in the shed, so they might not have thought about the FBI's jurisdiction and just made a run for it.
Out of universe, Guam plays the role of "Far Far Away TM". It doesn't really matter where they are going, as long as it's far enough away to uproot Matilda's relationship with her friends, creating dramatic plot.
Matilda (1996) the movie is based on Matilda (1988) the novel by Roald Dahl, a British writer, and thus set, in Britain. Specifically a village in Buckinghamshire, possible modeled on Roald Dahl's home village of Great Missenden, Buckinghamshire.
I don't know where the Wormwood's fled in the novel, but if they lived in Britain fleeing to Guam would take them outside the jurisdiction of Scotland Yard.
So it is possible that the Wormwood's destination was Guam in the original novel and screenwriters Nicolas Kazan and Robin Swicord kept it as their destination while changing the setting to the USA from the UK and replacing Scotland Yard with the FBI. They might have forgotten to change Guam to some other south seas island, one that isn't a US possession.
Or it is possible that the Wormwoods fled to a different or unmentioned destination in the novel and that screenwriters Nicolas Kazan and Robin Swicord chose Guam for their destination in the film to show that the Wormwoods didn't know Guam was a US possession, or maybe because they themselves didn't know it was a US possession.