The Lightning nearly ended the game seconds earlier when Alex Killorn pulled Jets goalie Al Montoya out of the net but clanged a shot off the post.
Winnipeg then advanced into the Bolts' zone and Wheeler found Scheifele alone at the right side of the net for the game-winner.
Wheeler also scored in regulation for Winnipeg, which completed a six-game road trip with a 4-2-0 mark.
Montoya stopped 28-of-29 shots.
Nate Thompson scored and Anders Lindback made 34 saves for Tampa Bay.