This is very similar to this answer. I just added some overlays.
\documentclass{article}
\usepackage{amsthm}
\usepackage[breakable,skins]{tcolorbox}
\usetikzlibrary{decorations.pathmorphing}
\usepackage{lipsum}
\newtheorem{mytheorem}{Theorem}
\tcolorboxenvironment{mytheorem}{
enhanced,
colframe=blue,
interior style={top color=blue!20, bottom color=blue!10},
breakable=true,
%title after break={Theorem \themytheorem\ Continued}, % works, but not great
overlay first={%
\path[font=\small\itshape] (frame.south) node (cont) {(continued)};
\draw[thick,red,decoration={zigzag,amplitude=0.5mm},decorate]
(frame.south west) -- (cont.west)
(frame.south east) -- (cont.east);
},
overlay middle={%
\path[font=\small\itshape] (frame.south) node {(continued)};
\draw[thick,red,decoration={zigzag,amplitude=0.5mm},decorate]
(frame.south west) -- (cont.west)
(frame.south east) -- (cont.east);
},
overlay last={%
\path[font=\small\itshape] (frame.north) node (cont) {Theorem \themytheorem\ Continued};
\draw[thick,red,decoration={zigzag,amplitude=0.5mm},decorate]
(frame.north west) -- (cont.west)
(frame.north east) -- (cont.east);
},
}
\begin{document}
\lipsum[1-3]
\begin{mytheorem}[My Theorem]
\lipsum[4-6]
\end{mytheorem}
\end{document}


One may want to add complete zigzag's that are based on Jake's complete sines, and to make the fill stop at the decoration.
\documentclass{article}
\usepackage{amsthm}
\usepackage[breakable,skins]{tcolorbox}
\usetikzlibrary{decorations.pathmorphing}
\pgfdeclaredecoration{complete zigzag}{initial}{
\state{initial}[
width=+0pt,
next state=half up,
persistent precomputation={\pgfmathsetmacro\matchinglength{
\pgfdecoratedinputsegmentlength / int(\pgfdecoratedinputsegmentlength/\pgfdecorationsegmentlength)}
\setlength{\pgfdecorationsegmentlength}{\matchinglength pt}
}] {}
\state{half up}[
width=+.25\pgfdecorationsegmentlength,
next state=big down]
{\pgfpathlineto{\pgfqpoint{.25\pgfdecorationsegmentlength}{\pgfdecorationsegmentamplitude}}
}
\state{big down}[switch if less than=+.5\pgfdecorationsegmentlength to center finish,
width=+.5\pgfdecorationsegmentlength,
next state=big up]
{
\pgfpathlineto{\pgfqpoint{.5\pgfdecorationsegmentlength}{-\pgfdecorationsegmentamplitude}}
}
\state{big up}[switch if less than=+.5\pgfdecorationsegmentlength to center finish,
width=+.5\pgfdecorationsegmentlength,
next state=big down]
{
\pgfpathlineto{\pgfqpoint{.5\pgfdecorationsegmentlength}{\pgfdecorationsegmentamplitude}}
}
\state{center finish}[width=0pt, next state=final]{
}
\state{final}
{
\pgfpathlineto{\pgfpointdecoratedpathlast}
}
}
\usepackage{lipsum}
\newtheorem{mytheorem}{Theorem}
\tcolorboxenvironment{mytheorem}{
enhanced,
colframe=blue,
interior style={top color=blue!20, bottom color=blue!10},
breakable=true,
%title after break={Theorem \themytheorem\ Continued}, % works, but not great
overlay first={%
\path[font=\small\itshape] (frame.south) node (cont) {(continued)};
\begin{scope}[decoration={complete zigzag,amplitude=0.5mm}]
\path[fill=blue!10] decorate {([xshift=1.2pt]frame.south west) -- (cont.west)} --++
(0,0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.south east) -- (cont.east)} --++
(0,0.5ex) -| cycle;
\path[fill=white]
decorate {([xshift=1.2pt]frame.south west) -- (cont.west)} --++
(0,-0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.south east) -- (cont.east)} --++
(0,-0.5ex) -| cycle;
\draw[thick,red,decorate] ([xshift=1.2pt]frame.south west) -- (cont.west);
\draw[thick,red,decorate] ([xshift=-1.2pt]frame.south east) -- (cont.east);
\end{scope}
},
overlay middle={%
\path[font=\small\itshape] (frame.south) node (cont) {(continued)};
\begin{scope}[decoration={complete zigzag,amplitude=0.5mm}]
\path[fill=blue!10] decorate {([xshift=1.2pt]frame.south west) -- (cont.west)} --++
(0,0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.south east) -- (cont.east)} --++
(0,0.5ex) -| cycle;
\path[fill=white]
decorate {([xshift=1.2pt]frame.south west) -- (cont.west)} --++
(0,-0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.south east) -- (cont.east)} --++
(0,-0.5ex) -| cycle;
\draw[thick,red,decorate] ([xshift=1.2pt]frame.south west) -- (cont.west);
\draw[thick,red,decorate] ([xshift=-1.2pt]frame.south east) -- (cont.east);
\end{scope}
\path[font=\small\itshape] (frame.north) node (thm) {Theorem \themytheorem\ continued};
\begin{scope}[decoration={complete zigzag,amplitude=0.5mm}]
\path[fill=blue!20] decorate {([xshift=1.2pt]frame.north west) -- (thm.west)} --++
(0,-0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.north east) -- (thm.east)} --++
(0,-0.5ex) -| cycle;
\path[fill=white]
decorate {([xshift=1.2pt]frame.north west) -- (thm.west)} --++
(0,0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.north east) -- (thm.east)} --++
(0,0.5ex) -| cycle;
\draw[thick,red,decorate] ([xshift=1.2pt]frame.north west) -- (thm.west);
\draw[thick,red,decorate] ([xshift=-1.2pt]frame.north east) -- (thm.east);
\end{scope}
},
overlay last={%
\path[font=\small\itshape] (frame.north) node (thm) {Theorem \themytheorem\ continued};
\begin{scope}[decoration={complete zigzag,amplitude=0.5mm}]
\path[fill=blue!20] decorate {([xshift=1.2pt]frame.north west) -- (thm.west)} --++
(0,-0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.north east) -- (thm.east)} --++
(0,-0.5ex) -| cycle;
\path[fill=white]
decorate {([xshift=1.2pt]frame.north west) -- (thm.west)} --++
(0,0.5ex) -| cycle
decorate {([xshift=-1.2pt]frame.north east) -- (thm.east)} --++
(0,0.5ex) -| cycle;
\draw[thick,red,decorate] ([xshift=1.2pt]frame.north west) -- (thm.west);
\draw[thick,red,decorate] ([xshift=-1.2pt]frame.north east) -- (thm.east);
\end{scope}
},
}
\begin{document}
\lipsum[1-3]
\begin{mytheorem}[My Theorem]
\lipsum[4-6]
\end{mytheorem}
\end{document}


overlay firstand so on as in https://tex.stackexchange.com/a/455377/194703. How should the box look like at the break? – May 20 '20 at 16:37\textit{\small(continued)}at the end of first and to repeat the theorem head spec along with\ --- Continuedat the beginning of last. – Teepeemm May 20 '20 at 16:46