The purpose of the liquid used in wet sanding is not lubrication. After all, you are trying to wear away the surface; why lubricate things and slow that down, unless you just want more exercise. The liquid (my favorite for lacquer is paint thinner) serves to keep the particles suspended so the paper doesn't clog.
I suspect WD-40 would just slow down the process and make a mess.
For nitrocellulose I use water with a little dishwashing detergent added to hold and disperse the slurry - it prevents piling (the little balls of lacquer that form with dry sanding) and definitely improved my finish standards. But, water can be a real pain if you have any bare wood exposed (screw holes and bridge ferrule bores in electrics are a good case) and will swell and split the lacquer in the vicinity. I recall other makers use white spirits/mineral spirits for rub out and have very good results from this with out the problem of water.
As a lacquer user I wood not be caught dead spraying W-D 40 in my shop. If you are looking for trouble thats the stuff to use.I sprayed some on a bolt I was trying to get out one day and I had a lot of fish eye in my finish for a long time after. I use Kerosene for my liquid when sanding the finish. Bill."""""""""