I am going to say all four of them are lying. Penelo and Relm are mafia, Wedge is a serial killer and Rikku is an Ugly Townie.
That scenario doesn't make sense and you know it.
Wakka has been pretty superficial as a player so he's a decent option, but I have to follow my results and I'm voting one of the two people with a gun who has refused to claim.