Does it make a difference if i use wax paper instead of aluminum foil when baking?!

As mentioned, it's not good to use waxed paper in a regular oven because of the wax, but fine in a microwave.

Instead of foil or waxed paper, you can use some other kind of flat (oven-safe) object as a lid though like a metal cookie sheet, ceramic plate, the bottom of a casserole dish, a metal pot without plastic handles, etc.
(Parchment paper --or plain silicone sheets/etc-- is fine as long as the parchment is not too close to coils or sides, but you may not have those things.)

wax paper does not have THAT much wax on it; use to use if for baking all the time back in the day before fancy 'parchment ' paper.
I think you are instructed to wrap the pan with foil to keep the pan clean.
Didn't cannelloni's get made before aluminum foil was invented too??
I bet neither is necessary.
Many modern recipes have all kinds of nonsense added to make ease of clean up afterward that are just a pain in the a.... and add expense.
I looked up cannelloni recipes and about half wrapped the pan in foil and the other half didn't.
It is clearly not necessary.

aluminium is not good for your health and if there is any way it would be best not to use it but most of all do not use wax paper there is a bakers paper called parchment paper that baker use and you can buy in the store or on-line and that is best if the substance is not too liquid I like it a lot and it is much more healthy than Aluminium

The wax will melt for sure and that's not a good thing... probably not all that healthy yah know? Anyway, parchment paper is fine... and now, Martha Stewart has a paper lining for baking that is parchment on one side and aluminum foil on the other. It's really cool!

No, don't use wax paper!!! But you can use parchment paper if you have it at home.

I think aluminum paper will burn

no, but your cannelloni's will taste like crayons when you are done... the wax will melt and adhere to the food