Dono has a point in his comment where he mentions that even if there were a way to transcribe it, the sound [wu] does not exist in Japanese.
Let me first explain why it doesn't exist.
The Japanese phoneme /w/ as in /wa/,/wi/,/we/ and /wo/ (transcribed as ワ,ウィ,ウェ and ウォ) is not the same as the phoneme /w/ in English. /w/ in Japanese is the approximant (which is more or less like a non-syllabic vowel) corresponding to the vowel /u/, which in Japanese is pronounced with relaxed lips, whereas /w/ in English is pronounced with rounded lips. /wu/ is possible in English, since when going from the /w/ to the /u/, the lips lose some of the rounding. However, in Japanese, /wu/ doesn't make sense, since /w/ and /u/ are pronounced in the same way. Hence /wu/ = /u/ -> ウ.
Many non-native Japanese speakers are unaware of this lack of rounding on the Japanese /w/ (and maybe /u/ as well), just as many native Japanese speakers are unaware of the rounding in English.
Back to Dono's point. Japanese does have a way to transcribe /v/, namely with ヴ, although I would argue that /v/ doesn't exist in Japanese (or at least, it's usually realized the same way /b/ is). I think one reason that /v/ has a transcription whereas (English) /w/ doesn't could be that the concept of your upper teeth touching your lower lip is fairly easy to understand, even if that sound is not in your phonetic inventory. But the whole thing about rounding, that's a bit more complicated. Also, Japanese /w/ works as a good approximation of English /w/ except for the specific case of /wu/.