Probably each dvd standalone player differ from other, but when I insert a CD containing mp3 files in my player is not necessary make a menu because my player show on screen the list of files contained on the disc.
If I’ve understand, your purpose is to listen your wav files on your TV using a standalone dvd player.
To this in my opinion (repeat, is only an opinion) is sufficient convert your wav files into mp3. If quality is your concern, you can encode at 320kb (the maximum) constant bitrate, no need to make an audio DVD.
In this way, if your dvd plaery is able to read mp3 files (can verify here, as posted by dsdarli) you’ve made all. When insert the disc on the player then should appear a menu to chose which file to play.
But if you want a disc similar to a video DVD, then maybe you need also of a dvd authoring program to make menu, and this complicate your work.
An example of dvd authoring program is here: a bit complicated to use but very complete.