What does "caddy-corner" mean?

Diagonally across from.

If I recall correctly, the Gloucester Road Tube station is on the southwest
corner of the main intersection it fronts. Our hotel (the Montana, according
to my travelog) would be on the northeast corner.

Or, put another way, one could cross one street from the station to the
nearby post office, then the intersecting street from the post office to the
hotel.