Just looked up Wagon Wheels, which I hadn't heard of. They are similar, but the cookie part of a Moon Pie is graham cracker-like, dark-ish in color, and it looks as though Wagon Wheels have something more like a light-colored sugar cookie.

It also seems that Wagon Wheels can have a jam layer inside (along with the marshmallow), which a Moon Pie wouldn't. I like that jam idea! The taste of a Moon Pie is a bit bland for some, and a jam layer could give it that bit of extra zip they think it needs.