Ah, but that is not really possible.
An export to wave renders the song from start to finish as if it was never played. In order to have it seamlessly loop like that, you will have to edit the orderlist, add the last (or two if notes have long duration) patterns to the start, export that to wav, then manually edit the waveform and cut off the start.
Do note that it will mean that when the song starts, it will have these looped notes there already which can sound unintended if the player does not fades it in. This technique is usually used in gamedesign where the songs are fade in, and made loopable.
Alternatively, you'll have to design the song so that no notes loop in any case and the natural loop sounds okay even in wav.