It has never made sense to me why Orthodox Jewish women wear wigs, especially if they spend a lot of money on one. After the initial cost, there is the cost to have it cleaned and styled. Add on the fact that many get a wig, that often resembles their own hair. This can cost thousands of dollars that could be more useful to help pay for living expenses and other needs. There are some sects of Judaism that frown on wigs.Just a few thoughts...
It's more of a modesty issue among the Orthodox. Many Orthodox women wear wigs instead of cloth coverings. Do be honest, although I've heard the explanation, that will never make sense to me personally.