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We study the structure and stability of traversable wormholes built as (spherically symmetric) thin shells in the context of Palatini $f(\mathcal{R})$ gravity. Using a suitable junction formalism for these theories we find that the effective number of degrees of freedom on the shell is reduced to a single one, which fixes the equation of state to be that of massless stress-energy fields, contrary to the general relativistic and metric $f(R)$ cases. Another major difference is that the surface energy density threading the thin-shell, needed in order to sustain the wormhole, can take any sign, and may even vanish, depending on the desired features of the corresponding solutions. We illustrate our results by constructing thin-shell wormholes by surgically grafting Schwarzschild space-times, and show that these configurations are always linearly unstable. However, surgically joined Reissner-Nordström space-times allow for linearly stable, traversable thin-shell wormholes supported by a positive energy density provided that the (squared) mass-to-charge ratio, given by $y=Q^2/M^2$, satisfies the constraint $1<y<9/8$ (corresponding to overcharged Reissner-Nordström configurations having a photon sphere) and lies in a region bounded by specific curves defined in terms of the (dimensionless) radius of the shell $x_0=R/M$.