Many, MANY actors and actresses claim that they 'turned down' famous roles. Most of those claims are false and this is definitely one of them; "The Wizard of Oz" was not a comedy and actually had a serious undertone. Wynn's tired-old vaudeville hokum wouldn't have worked.

Well at the time that he turned down the role, the script only had the part of the Wizard as a very small cameo role with the character appearing at the end when they discover he is a fraud, and at the very very end when Dorothy goes home, and he pops in as the doctor.