By "the 'w' foreigner word" do you mean Wallace, or words with W in general?
If Wallace: I could've rendered his name by sound; in Classical pronunciation Valis [wɐɫɪs] would be really close. But then I'd need to do the same with Brett (Bres?) and Jules (Diules? Ziuls?) and it would be a pain.
If you mean words with W in general: yup. Long story short ⟨W⟩ wasn't used in Latin itself; it started out as a digraph, ⟨VV⟩, for Germanic [w] in the Early Middle Ages. Because by then Latin already shifted its own native [w] into [β]→[v], so if you wrote ⟨V⟩ down people would read it wrong.