Polyethylene plastic film shrivels so readily under heat that I can't imagine it would survive a hot barrel in one piece.
It might be neat to design a multipart slug that comes apart after a certain distance. It might have a retainer cast of epoxy glue, adjusted in size by trial and error until it melts at just the right moment in flight.
The problem with wax slugs is they melt in your car. Otherwise I think they would work.
But remember that there are all kinds of waxes that melt at all different temperatures. You might even be able to concoct your own formulation of shooting wax.
Yet as the gun heats up in use, these things are bound to change performance.
Waxes, plastics, epoxy, polyurethane, polyethylene, polypropylene, polystyrene . . . All these things have a definite melting point based on their particular chemistry. When they melt and reform their chemistry can change. They can have completely different physical properties than before.
HDPE, for instance, melts, and when you recast it it is brittle kind of like a Hershey bar that has been in the refrigerator. That might turn out to be an ideal situation. Or not.
(It gives off flammable gases & soot when you melt it, by the way, just like a candle. Don't do it indoors unless you have great ventilation.
All the fun of life is in the experimentation you see. That's why I do this stuff.