Well Michael, thanks for answering a few questions. We can now eliminate any finishing problems so it narrows down to the wood itself. Being the wood was coated in parafin wax to start with tells you it is a wood that is prone to cracking and was either cut when wet and coated to help dry slowly or was coated to prevent it from taking on moisture when it was dry. We will never know that now. But it also tells you that this wood has to be treated differently than others. Not knowing weather the wood was wet we have to assume this and proceed from there.
A few ways to do this is to strip the wax off the best way you can, with scraper then some mineral spirits and weigh the blank. Now you will need a sensitive scale to weigh small blocks of wood like a pen blank. Let it sit a few weeks and again weigh to see if it is getting lighter. If so it tells you the wood was wet when sealed so you now have to let it continue to dry and continue weighing until the weight stops changinging. Now you need to keep in a dry cool area so it does not take on outside humidity. If the wood does not change on initial weigh-in then the wood was dry and just sealed to prevent it from taking on moisture. so you can work with it right away.
If you own a moisture meter you can use that also instead of scale.
What you have shown is surface cracks and this indicates the wood was wet and when you turned it you exposed it to air temps and it dried faster than wood can expand and contract thus the cracks. Adding heat from turning tools and also sandpaper did not help the cause. Heat is always an enemy in turning wood. In my opinion there is no way to correct this now and chalk it up to a learning experience or you can do some experimenting. If you are capable of doing a CA finish you can try to clean the blank with acetone to get rid of the finish that is on there and mix some sanding dust in some med CA and apply it to entire blank hoping it seals the cracks and covers them. Then use a skew or scrapper and turn round and shape again. I would avoid sandpaper in fear of the heat thing again. I then would do a few coats of thin CA and then a couple coats of med and sand and finish as normal. Can not guarentee the outcome.
Moral of this story, using woods that have wax on them are a sign of they need to be treated differently. Unknown woods can and probably will crack. Good luck.