If we're talking about the place in the National Lampoon's Vacation movie, then the answer is no, Walley World was not a real theme park. It was simply a fictional place that was shown in the movie.
There is actually an actual Walley World located in London, Ontario, Canada. Walley World is spelled a little differently than the one that appears in the film: Wally World Water Park instead of Walley. It doesn't really live up to what the movie about Walley World promised, since it's only a loose translation of what the movie said.