The first question is whether it was really wax. Especially in the case of Pines and Exotics, there are many woods that have very high resin/pitch contents which will easily foul things -- especially if you generate enough heat (such as in sawing or sanding) to significantly melt the resin. This is very easy to do when sanding such woods. You may find you get better results running such woods through a thickness planer (whenever possible as they generate much less heat than sanding), then hand sanding with a ROS and inexpensive disposable sanding discs to remove any planer marks.
I mention this because, while it is possible you were sold waxed wood, I doubt that was the case as it is not the normal manner in which wood is sold.
I don't have any first hand experience with your particular issue (I don't have a large band or drum sander), but if your paper is fabric-backed you may be able to get away with soaking the sandpaper in a suitable solvent to help soften -- and hopefully dissolve -- the contaminate, then use a wire brush to carefully scrub the paper clean while it is still wet with the solvent, then rinse thoroughly in solvent, then water then let everything dry for a day or two... then try running your cleaning sheet back through it to see if that finishes cleaning the sandpaper.
However, if your sandpaper has a joint in it (such as with bands) then there is a chance that the solvent may damage the adhesive used in the joint and result in joint failure.
Whenever working with highly resinous woods it is important to be aware of the undesirable effects that heat buildup can cause ... both during sawing and sanding, either of which can liberate the resins if enough heat is created.
I'm sure some of our members with band and/or drum sanders can probably offer more specific advise with respect to your issue.