I kept digging. I never found any documentation, but I found another post on here with info that got me going..........
local rc = wx.wxMessageBox("This is my Message", "This is my Caption",16) --Ok, Cancel
--wxMessageBox Types
--2 = Yes, No
--4 = Ok
--16 = Ok, Cancel
--18 = Yes, No, Cancel
--wxMessageBox Return Values
--Yes = 2
--OK = 4
--No = 8
--Cancel = 16
It would still be nice to know where this is documented though. For now I made myself a text file with the info and put it in my docs folder.