I'm pretty sure that burners will just burn the files that you give them. Be that Img, ISO, exe, avi, jpg, doc or mp3.
It could be that your burner doesn't convert your wav files to mp3. This would be normal. The burner justs burns what the program tells it to. Maybe you should try another burning program.
You may want to try a wav converter program then. By simple putting "wav to mp3 converter" into a search engine you should come up with about 500 links to try out.