In Mandarin, 王 (pinyin = Wang) is pronounced (in Mandarin) as "Wong" (the sound of it). To an english speaker this will not make much sense because Wang does not sound like Wong at all.
Often times people will ask, how do you say your name in chinese? Assuming my surname is 王. I would say it's pronounced as "Wong" (or as close to as that). But still, people will simply say Wang because it is more natural for them (English speakers) to say it.
As for the wrong use of the surname - I would think there are 2 possibilities
1 - the person who used it only knew how the name was pronounced and not how it was written so he/she assumed it was written as it sounds and wrote Wong.
2 - the person who used it was Cantonese and assumed the other person is also Cantonese and use Wong because that's how they write it.
How should you pronounce it?
I think this comes down to personal preference. To me you can say Wang or Wong and I would not care. However, to someone else they might care and correct you on your pronunciation.
Any english speaker meeting someone named Wang, is naturally going to say Wang unless they have so much interaction with chinese people and knows the chinese way of saying it.
if you want to say the person's name properly in Mandarin, then pronounce it as "Wong", if you don't care and the other person with surname 王 don't mind, then say "Wang". It's best just to ask the other person what they want you to pronounce and go from there.
Zhenya Wang is from Nanjing so the correct chinese way to say/pronounce her name in chinese is "Wong" but I would not expect english speakers to know this