When I am merging .wav files in Goldwave and mark the option to export the .cue file, GW creates a .cue with the 'FILE' attribute as .mp3 within the .cue file.
For example, if I am merging some .wav tracks into the SideA.wav track:
PERFORMER ""
TITLE "SIDE A"
FILE "SIDEA.mp3" MP3
TRACK 01 AUDIO
TITLE "A 1"
INDEX 01 00:00:00
TRACK 02 AUDIO
TITLE "A 2"
INDEX 01 04:30:02
TRACK 03 AUDIO
TITLE "A 3"
INDEX 01 08:00:19
TRACK 04 AUDIO
TITLE "A 4"
INDEX 01 10:00:45
TRACK 05 AUDIO
TITLE "A 5"
INDEX 01 11:41:68
TRACK 06 AUDIO
TITLE "A 6"
INDEX 01 13:01:37
TRACK 07 AUDIO
TITLE "A 7"
INDEX 01 14:02:61
TRACK 08 AUDIO
TITLE "A 8"
INDEX 01 16:21:33
If you start with WAV files...Goldwave should write a WAV file in the file info in the CUE. Having an MP3 indicates you started with MP3 at some point and added to it.
Like Doug said...CUE is largely a text file, you can edit the filename afterwards.
Try saving the entire thing as WAV first, then export CUE. I will go home and play around with this if I remember and see if I can replicate.