If it's malted wheat, then yes, I suppose you could do a protein rest with just wheat. If it's unmalted wheat, like flaked or torrefied wheat, then there are no enzymes to break proteins down.
I never use direct heat on my all-grain batches, and I always use multi-temp rests. To use just water infusions, without getting too much water in there, use boiling water. Start with cold water to hydrate the grains, like 1/4qt / lbs should be enough to get the grains wet. Then add boiling water until you hit your target temp. With wheat I like to do 2 rests, one at 103* for 10-15min to break down beta-glucans, one at 131* for 10-15min.
You should really do a protein rest for the whole grist. I use protein rests with every recipe, every time, even with well-modified grains. A short protein rest at 131* for like 10-15min, will break down the remaining big proteins into smaller, water-soluble proteins called albumins. Albumins are what give beer its body, and will help with head stability.
The short protein rest will also help with chill haze. I used to always get chill haze before I used protein rests, now I very seldom do, and only with wheat beers.
To paraphrase Dr. England - "Off-flavors smooth with time. So do mountains. Brew it right from the start!"
My blogsite: http://nateobrew.blogspot.com/