I agree with Benjamin Cosman’s answer, it is allowed.
I think it can be deduced from the Leaders rules, which say about the Recruitment Phase:
b. Build a stage of a Wonder
To build a stage of a Wonder, the player uses the Leader card selected as a construction marker (face down). To do that, the cost indicated on the Wonder board must be paid, and not the one on the Leader card.
Note: this action will rarely be possible during the first Recruitment Phase, as the cities will generally not yet have the resources required for the construction of the first stage of their Wonder.
The note says that it will "rarely" be possible in the first phase, so it must be possible somehow.
If there is no Wonder that allows building the first stage only with the Wonder’s starting resource, then this means it can only be achieved with commerce.
I checked all Wonders that were released up to and with the release of the Leaders extension:
- Each base game Wonder has 1 starting resource, and each of the Wonder’s first stages cost at least 2 resources to build.
- The Manneken Pis Wonder has no starting resource, and none of its first stages can be built for free.
- The Wonder from Leaders has no starting resource, and its first stages cost at least 2 resources to build.
So there doesn’t seem to be a Wonder which would make this possible without commerce. Hence commerce has to be allowed, otherwise it would never be possible.