WattleScript's Lua mode is missing some fields in package that "standard" Lua (PUC Lua) has. In particular, the lack of package.preload, package.path, and package.searchers prevents Fennel from working.
I'm not sure whether this is partly a case of missing functionality or if the functionality is essentially all there and just needs to be exposed via package. I'm hoping it is all there because I don't see anything on the list of differences that would suggest this is a piece of functionality that's missing. I would like to submit a PR to address this, but am not sure I could add substantial functionality to the Lua mode's package functionality.
You can also read the original issue filed against MoonSharp.