The name "Wayúu" appeared a long time ago in translatewiki, and it's unclear what is its source. All the sources that I can find say that autonym is "wayuunaiki", for example Ethnologue and Diccionario básico ilustrado wayuunaiki-español español-wayuunaiki (Editorial Fundación para el Desarrollo de los Pueblos Marginados, Bogotá, D.C., 2005)