mm.Wg means millimeters, water gauge. It is the pressure required to support a water column of the specified height (sometimes called 'head' of water). As a pressure unit it varies with temperature, but approximately 1 mm H2O = 9.8 Pa. 1000 mm.Wg = 1 m.Wg.
The unit is often used to descripe how much water rainwear or other outerwear can take or how much water a tent can resist without leaking.