Want it for a Little Cup Wailmer.
OH!! I can answer this. Wailmer CAN learn Self destruct, but only the Wailmer from pokemon XD: Gale of darkness. It has self destruct as a learnable move. (move tutor if I remember correctly) You'd have to transfer it to a GBA game, then Pal park it.
As far as I can tell, neither Wailmer nor Waillord can leaf Selfdestruct.