Quite a few countries issued plates using a similar format to your question.
For instance pre-war (actually up to 1951) Dutch plates used 1 letter followed by up to 5 numbers in white on a blue background, but I can't see that any district was allocated 'W'. Norwegian plates up to 1971 also used the same format, and 'W' would represent the county of Nordland, except there should be a '-' between the letter and the numbers. Iceland also used the same style but again I can't see that they used 'W'. Portuguese numbers were very similar to the Norwegian ones, but also always had a dash between the letter and the numbers.
It could belong to certain British colonies, or it could indeed be a 1904/1919 British plate from Sheffield, which is perhaps the most likely candidate. It isn't from Luxembourg as you suggest.
I'll keep looking to see if I can see any more information.