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. It would change hands. The other alliance would then control it. 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. This is not possible. There can only be one of each Wonder in the world. Well, then you will just have to jump across the oceans to gain control of it.