Homologies to insect wings
Insects and vertebrates are extremely distantly related: they're on opposite sides of the oldest split among bilaterally symmetric animals.  Their most recent common ancestor lived in the pre-cambrian and was almost certainly worm-shaped with no limbs at all.  There's no way that insect wings are homologous to any body parts of vertebrates.

The evolution of insect wings is a somewhat difficult topic, because it happened 350 million years ago in animals that do not fossilize well.  Wikipedia discusses several possible theories for what parts of non-winged insects are homologs of insect wings.  Currently the situation does not seem to be resolved.