If a page is on domain_a.com, you can’t load a page using AJAX from domain_b.com (the framework automatically uses a full HTTP request instead).

Enabling Cross Domain Requests via AJAX

If you are creating an offline application or a some sort of special hybrid solution you may be loading pages through the file://protocol (local files), so if want to load external pages from the Web you need to allow it by using $.mobile.allowCrossDomainPages = true