"The Highway" comes from a collection called The Illustrated Man, in which the narrator sees another man's tattoos move and tell each of the stories. A theme which comes up in many of the stories is technology gone awry and that a simpler life is more desirable.
In "The Highway," Hernando notes the desolate road and then is surprised to find thousands of cars racing north: to America. He learns from a car of teenagers that the atomic war is coming. They tell him this would mean the end of the world. And, here is the quote I would use, he says, "What do they mean, the world?" Hernando is a part of the "world" and yet he has not heard about this end of the world war. Is it because he is just out of the media loop; or is there also a more subtle implication about his role (a poor farmer) in the grand scheme of things.
There is a clear separation between the industrialized part of the world and the less industrialized countries; this is a separation between city and country, urban and rural, rich and poor (in this case Hernando, the farmer.) When he asks (himself) what they mean by "world," he is suggesting that the part of the world interested in war, land, and technology is different from his world. Hernando is unaware; somewhat separate from that world. If it is the end of the world, he won't know until the end, so he goes about his business. This is part of a long tradition in science fiction that, while technology has incredible benefits, the downsides can be devastating (atomic weapons).
The underlying theme is about the idea of the "world." It is as if only the more powerful, industrial countries comprise the "world" and all others are just subject to their whims and potentially, they can become collateral damage in the event of a war. Hernando either recognizes his separation from that “world” or doesn't care if the war reaches him, or, knowing he is separate from that world, he realizes there's nothing he, a poor farmer, can do.
When you hear reference to the "third world," it is a description of countries which are not necessarily less civilized (they certainly don't have world-ending weapons); these countries are just less industrialized. Hernando represents one of these ordinary people from any world: 1st, 2nd, 3rd. The term "third world" has faced criticism because it implies that it is fundamentally inferior to 1st or 2nd. And the term "third world" is based solely on industry and market; i.e., $ and power.
The overall theme is about the dangers of technology and that simpler lives are desirable and that there is still a separation between industrial and agrarian, between rich and poor. The underlying theme is about the concept of "world." In this case, the world is still separated between industrial and poorer countries. The poor, represented by Hernando and his family, can only hope the industrial countires don't screw things up for the "other" parts of the world, or the so-called "third world."