I don't know about Cubase because it has been years since I used it, but wav and midi are diferent types of data. Midi tells a sound source like a synth to play certain notes for a specified length of time and loudness. Wav files contain actual audio (what you get after you record the outputs of the synth or an accoustic instrument). So there is no combined wav file. In a broader perspective, some programs put the types of data together (e.g., a bun in cakewalk, puts down all the midi files with any audio data that is in the song). This is good for backing data up or swapping it with someone else. You can't actually play a bundle (as you would a wav file) because you need something to play the midi and something to play the audio (in this case since it si proprietary, cakewalk).