In film, diegesis refers to the story world, and the events that occur within it. Thus, non-diegesis are things which occur outside the story-world.
A non-diegetic insert is a film technique that combines a shot or a series of shots cut into a sequence, showing objects represented as being outside the space of the narrative. Put more simply, a non-diegetic insert is a scene that is outside the story world which is "inserted" into the story world. Diegetic could also refer to sound in media or film studies