Tmesis - pronounced ter-MEE-sis or, with the initial 't' silent, MEE-sis, IPA: /tə 'miː sɪs or 'miː sɪs/ - is classified as a figure of speech. It is a form of adjusting words creatively, when a word or phrase is split and another word or phrase is inserted. Classic examples include "abso-blooming-lutely", where the adverb 'absolutely' is split by the expletive 'blooming'. Journalists and comperes of popular entertainments often use tmesis to give us a person's nickname between the proper forename and surname: "Arnold 'the Terminator' Schwarzenegger" might be an example.
Do not be tempted to use tmesis in academic writing.
See also infixation.