The NEC (National Electric Code) forbids electrical wires through walls.
We specifically mention this in our documentation for UL compliance:
See page 10 of the MegaDrive user manual.
In order to go through a wall and still be compliant, the easiest way is to install a fire barrier kit such as this one:
https://www.graybar.com/ez-path174-series-22-firestop-pathway-kit-1-2-hours/p/22119963
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Shop EZ Path® Series 22 Firestop Pathway Kit, 1-2 Hours By Specified Technologies (EZD22) At Graybar, Your Trusted Resource For Firestop Products And Other Specified Technologies Products.
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These are UL approved and allow cables to go through walls.
The other option is to use 2 junction boxes on either end of the wall with a piece of conduit connecting the 2.