A "hot swap" is inserting or removing a component of a device while it is operating.
"Hot-swappable" indicates an aspect of a device that allows such an operation.
In phones, this usually refers to memory cards, and means a memory card can safely be inserted or removed without turning off the phone.
If a phone's memory card slot is not hot-swappable, it may be because the phone's software is not designed to handle a hot swap, or it may be due a physical design choice, such as the memory card slot being located under the battery.