They didn't come from Chinese. 'Wang' came from 'whangdoole' or possibly 'whang', which has Old English origins. 'Dong' is of unknown origin. As euphemisms for male genitalia, 'wang' dates to 1933, 'whangdoodle' to 1858, and 'dong' to 1891.

Online Etymology Dictionary entries: wang whangdoole dong