I added a new building called the "Moulemein Pagoda"
(which is a great wonder) to my scenario. In the
editor I placed the pagoda in the city of Rangoon,
a Britich Commonwealth city. When I start the game
there is no Pagoda in Rangoon. I bring up the screen
that shows the list of all great wonders (see screenshot)
and the Pagoda is in Commonwealth color but the "owned
by" message is missing and it is in the city of Vologda
(a Russian city)!!!

I started a new game as the Russians and checked Vologda,
no Pagoda there either!

Did you assign any costs and/or prerequisites to the wonder.

Pounder:
I found the problem, the wonder was government-specific but
I selected the wrong Gov.!