I don't know if this is some kind of bug but during my last game I destroyed a wonder (Machu Picchu) just by capturing the city. The wonder was visible on a mountain right next to the city and after capturing it vanished completly but other buildings in the city (like market etc had not been destroyed). I tired to figure out if this happens to other wonders too but it seems that No is the answer. Does this happend to someone else, too? I give some screenshots on later.