Hmmm - may be hard to give an answer that you will be able to understand. How far do you want to go into this?
Your question is sort of like saying "Is there a way to make a Corvette without going through a Corvette assembly line?" If you make all the appropriate parts and put them together yourself, is it still a Corvette? All you've made is a copy. The very simple answer to your question is no there isn't a way to make soy wax without hydrogenation, because the definition of soy wax is soy oil that has been partially hydrogenated to the extent that it is a waxy solid instead of an oil. However, you could try to put together a copy of soy wax by collecting all of the individual components and mixing them together...
There is a table on this page
http://www.scientificpsychic.com/fitness/fattyacids1.html that shows the major components of soybean oil. Vegetable oils are mixtures of glycerides, which are glycerol molecules with one, two, or three long-chain fatty acids attached (mono-, di-, or tri-glycerides). The only difference between a vegetable oil and a vegetable wax is how well the glycerides can pack together. If they fit together very well, they can form a semi-solid wax, and the better they fit, the higher the melting point of the wax.
Unsaturated fatty acids have double bonds in the fatty acid chain (monounsaturated acids have one double bond, polyunsaturated acids have more than one). Saturated fatty acids don't have any double bonds. If you imagine the saturated fatty acids lying together like straight sticks which can lie very close together, unsaturated fatty acids have bends in the sticks at every double bond. While a pile of straight sticks fit very tightly together and can be easily moved as a single group, a pile of bent sticks tends to make an ungainly mess. This is the basic difference between a wax and an oil - the fatty acids in the wax lie close together in an ordered structure and the material is a solid, while the fatty acids in the wax get all bent around each other, there is little order in the structure, and the material is a liquid.
Hydrogenation is the process of added hydrogens across double bonds to make saturated fatty acids out of unsaturated fatty acids. The more you hydrogenate the oil, the fewer double bonds there are, the more "straight sticks" there will be in the mixture, and the more likely that you will have a nice ordered waxy structure.