By "the 'w' foreigner word" do you mean Wallace, or words with W in general?
If Wallace: I could've rendered his name by sound; in Classical pronunciation Valis [wɐɫɪs] would be really close. But then I'd need to do the same with Brett (Bres?) and Jules (Diules? Ziuls?) and it would be a pain.
If you mean words with W in general: yup. Long story short ⟨W⟩ wasn't used in Latin itself; it started out as a digraph, ⟨VV⟩, for Germanic [w] in the Early Middle Ages. Because by then Latin already shifted its own native [w] into [β]→[v], so if you wrote ⟨V⟩ down people would read it wrong.
I mean the Welsh/Waloon/Wallachian/waelsc word for "those people over there" that all the rest of Europe seems to have. It's not unheard of for neighboring people to call eachother 'vlach'. I just never noticed Latin doesn't have it.
The relevant root is Proto-Germanic *walhaz. If I got it right it was used by PG speakers first to refer to a specific Celtic tribe, then other non-Germanic Europeans. (Proto-Slavic borrowed the word but changed the meaning - from "any speaker of a foreign language" to "Latin/Romance speaker".)
Latin never borrowed that root because they simply called any non-Roman "barbarus".
...You know how basically all Indoeuropean languages have a word for Canis Lupus that sounds vaguely like "Ulku"? Ulv/Ulf/Wolf/Vlk/Vilks/Vuk/Loup/Lykos? Well, there's another word, walhaz that started off meaning "Celt", then "Roman", then generic "foreigner", and can be found today in exonyms all over Europe. It didn't occur to me that Latin wouldn't have had it, since they were the Vlachs in question.