I am looking for solution how to get/send the data from/to another domain using JSONP in the Web Workers.
Since the Web Workers have not access to the DOM it is not
CORS is a specification which has nothing to do with JSONP beyond making it obsolete in newer browsers. It enables cross-domain requests using ordinary XMLHttpRequest calls.
Here's an overview of how it works and how to use it. It can be used in Firefox 3.5+, Safari 4+, Chrome 3+, Internet Explorer 8+, and anything else using one of the same engines.