It is absolutely correct and sensible and imaginable.
S orbitals have their maximum probability density right at the nucleus, sure.
This is what makes radioactive decay by electron capture possible, for instance. It works only with S electrons because their probability density is nonzero at the nucleus, and usually with 1S electrons because these are more concentrated at the nucleus.
Non-S orbitals have a momentum, which means the phase of the wavefunction makes not zero turns on a path around the nucleus (when choosing the functions with an amplitude of circular symmetry). So at the nucleus, the wavefunction has all phases at the same time, and the only such number is zero - the probability density is zero at the nucleus for non-S orbitals.
"Pass through" may not be the best expression, as electrons on stationary states (orbitals) have no macroscopic movement. They have a probability density to be at any point in space, including at the nucleus.
To me, the best formulation is: why can't you imagine an electron right at the nucleus? And why do you imagine something special should happen then?