Oasis's "Wonderwall" is named after George Harrison's album "Wonderwall Music" which was named after a 1968 movie titled "Wonderwall" (it was actually its soundtrack).
I guess the name stems from the plot of the movie (and I quote from Wikipedia):
The story of the film revolves around the reclusive, eccentric scientist Oscar Collins (MacGowran), whose next-door neighbours are a pop photographer (Wattis) and his girlfriend/model (Birkin), named Penny Lane. Discovering a beam of light streaming through a hole in the wall between them, Collins follows the light and spots Penny modelling for a photo shoot. Intrigued, he begins to make more holes, as days go by and they do more photo sessions. Oscar gradually becomes infatuated with the girl, and feels a part of the couple's lives, even forsaking work to observe them. When they quarrel and the couple split, Penny takes an overdose of pills and passes out, and Oscar tries to come to her rescue.
