I'm not absolutely sure what you mean by winding roads. I googled "winding road", and got, among other pictures, this one:
This winding, right-and-left-and-right-again and so on is clearly another sort of "path" than an ordinary orbit:
The Moon is in orbit around the Earth, or rather, the Earth and the Moon are in orbit around their common center of mass. Obviously the orbit is much, much larger compared with the size of the Earth and the Moon than this picture suggests. Still, the orbit is a relatively simple "one-way-curve", not a "winding road".
But in space, a "winding road" would be possible. It would all have to do with the distribution of mass and the subsequent "curving" of spacetime. According to Einstein, spacetime is curved by the presence of mass in it. There is a local curvature caused by the local distribution of mass, and there is an overall curvature, depending on the total mass of the universe. Objects moving in space follow the shortest path in space, and the shortest path is defined by the local curving of spacetime.
I googled "curved spacetime" and found, among other pictures, this one. What I like about it is that it shows that spacetime can be curved in a complicated way, with many local peaks and valleys. It should definitely be possible for spacetime to be curved in such a way that an object passing through the area might be tracing a "winding road", at least for a limited time.
And I really think you could describe the "curves" of spacetime as somewhat similar to banks of winding roads.