Lua is more dynamic than Wren which makes its job harder. Lua also tries very hard to be compatible across a wide range of hardware and compilers. If you have a C89 compiler for it, odds are very good that you can run Lua on it. Wren cares about compatibility, but it requires C99 or C++98 and IEEE double precision floats. That may exclude some edge case hardware, but makes things like NaN tagging, computed gotos, and some other tricks possible.
With these words, you might expect that programs that target the Wren reference implementation are faster than those written in Lua. But (again), languages are not language implementations, and the language implementation matters; while Wren programs written for the reference implementation available here are generally faster than programs that run on lua.org's Lua implementation, they're not faster than programs that run on LuaJIT.