Great Barrier Reef:
- coastal terrain
- may not be near ice (which is buggy for me, being pretty far away from ice is still considered "near" when I try to place it. You have to first place the wonder, then the ice later on and hope that the game doesn't remove it after reloading)
Cliffs of Dover:
- Grassland hills or Plains hills (which is weird, considering that it generates on flatland in normal maps as well)
- afterwards place cliffs to see it
Crater Lake:
- Flat Plains or Tundra
Dead Sea:
- Flat Grassland or Desert
- Not adjacent to a mountain
Mt. Everest:
- must be placed on a Grassland, Plains, Desert or Tundra mountain (no Snow mountain for some reason)
- Adjacent to any flatland or hills (generates adjacent to mountains in normal maps as well, doesn't seem possible here)
Galapagos Islands:
- coastal terrain
- not adjacent to land
- may not be near ice (same problem as with Great Barrier Reef)
Kilimanjaro:
- Grassland, Plains, Desert or Tundra mountain
- may not be adjacent to another mountain
Pantanal:
- Flat Grassland or Plains
- not adjacent to snow? (not sure here)
Piopiotahi:
- Grasslands or Plains (flat or hills)
- two tiles must be adjacent to the coast I guess
Torres del Paine:
- Grassland, Plains or Tundra (flat or hills)
- may not be adjacent to Desert, Snow or a mountain
Tsingy de Bemaraha:
- Grassland, Plains or Tundra (flat or hills)
- may not be adjacent to a mountain
Yosemite Valley:
- Flat Grassland or Plains
- may not be adjacent to a mountain
- both tiles must be adjacent to the same forest tile (I guess that caused your problem?)
DLC:
Eyjafjallajökull:
- Tundra or Snow (flat or hills)
- must be adjacent to Tundra or Snow (flat or hills)
Giant's Causeway:
- must be placed on flat Grasslands or Plains, as well as Coast
Lysefjord:
- Plains or Tundra (flat or hills seems to work)
- two tiles must be adjacent to the coast, similar to Piopiotahi
Uluru:
- must be placed on flat Desert or Desert hills
- must be adjacent to Desert (flat or hills)
This is mainly taken from Features.xml (and the corresponding DLC files).
Sometimes, the game removes natural wonders after reloading because it tries to rotate them into a different angle, which it can't display on the map anymore for some reason. Since natural wonders may not be placed within two tiles of a river, you can use them to keep a natural wonder in its original rotation (by placing the river next to a tile that would be close enough to the tile the game wants to rotate the wonder into... I hope you get what I mean).