If you had a batch file named lame.bat, you could, but the --nogap tag wouldn't work unless each file was listed in the commandline. You could do THAT in the batch file, if you wanted to use say, only track numbers for filenames (01.wav 02.wav 03.wav). All you would have to do is have enough of those in the commandline in the batch file to cover your longest CD. On any CD that doesn't have as many tracks as LAME is looking for, LAME will simply give you some form of "file not found" message and end.

[Edit:]
With a batch file setup this way, you wouldn't be typing "lame *.wav", you'd simply be typing lame.bat, or encode.bat, or whatever you name the file.