Yes, if the Wonder is completed before the city is conquered then it remains built but the Wonder will not be under anyone's control.I'm not sure anyone can. This, honestly brings up a lot of questions that I'm sure we'll soon have answers to.
1. You finish the wonder. One of the cities on your island is conquered. What happens? You conquer it back and gain control of the wonder back? Is the world at a stale mate now until you can get that one city back?
It would change hands. The other alliance would then control it.2. Suppose the opposing alliance manages to gain control of all the cities on that island. Does the wonder now change hands? What has it been doing all this time you were conquering those cities...just hanging?
If the Wonder is being built, and a city is conquered, then construction on that level stops and is reset to the last completed level (ie: Level 5 if working on Level 6). Once the island is regained, then work would resume on Level 6 again, but from the beginning.3. Suppose the wonder we built is the gardens. While our gardens is under contest can the construction that was halted when our gardens was completed resume (assuming those partially completed wonders just sit there from that point forward)?
This is not possible. There can only be one of each Wonder in the world.4. Suppose a halted wonder can be continued if control of a previously completed wonder is in contest. What happens if the '2nd" gardens is completed before control of the "1st" gardens is settled. What happens to the first gardens?
Well, then you will just have to jump across the oceans to gain control of it.5. What if each alliance only completes 1-3 of the required wonders for hero world, and to gain control of the one you need to unlock hero worlds you have to jump across the ocean to conquer the whole island?
I can think of a lot of ways things can play out. War with D12 over one wonder island might not be the most effective.
I suppose we'll just have to wait and see what happens