Burrow is an ability found in Ori and the Will of the Wisps.
Burrow allows Ori to dive through sand. It also allows Ori to dash through the sand when it is unlocked similar to swim dash, which also allows Ori to launch out of sand into the air.
Burrow is a passive ability, and does not need to be equipped to use.
How to Unlock Edit
Search for an Ability Tree in Winswept Wastes.
The Burrow ability seems to be inspired by the drill wisp ability, originating in Sonic Colors