You are not making it transitive. There is simply a prepositional phrase acting as an adverbial of location. There is no object for wallow, you're just saying where they are wallowing.
However, one does not wallow on anything. You wallow in things, either literally (mud, water, or even champagne) or metaphorically (emotions like self-doubt, guilt, or angst, for instance, or champagne - that one is more usually metaphorical than literal). It actually comes from how some animals live, keeping themselves partly submerged for much of the time, like pigs or hippos.
You could wallow on something as long as you were also wallowing in something, where the on might give an idea of broader location - so if we ever have pigs on the moon, we might say "the pigs wallowed in mud on the moon".
In case you are wandering about the "wallowing in champagne" thing, that could happen literally - if someone had enough money and wanted to do it, they could fill a large, shallow container with champagne and frolic in it. However, it is used metaphorically just to indicate flagrant and wasteful luxury. Not to suggest that people have a paddling pool full of champagne.