Is it possible to substitute Wax Paper for Parchment Paper during baking?
As @MeltedPez mentioned -- melting.  (coincindence in the name?  I'm not sure)

Specifically:


Waxed paper is wax-coated paper.
Parchment paper is silicone-coated paper.


Waxed paper is basically a candle in sheet form -- it'll melt, it'll burn, and it'll make your food taste like you're eating crayons.  It'll start to melt near 350F / 175C.  Parchment should go up to 500F / 260C ... it might get a little crispy or char at the edges, but won't spontaneously combust.

If you had to use something other than parchment, I'd go with 'release foil'.