While you can say "heavy wound," as a native speaker I've never heard it used that way except poetically, archiacally, or in relation to an emotional rather than literal wound. In contrast, "heavily wounded" is idiomatic. Odd, but language is odd.
Note that if someone is heavily wounded, it doesn't necessarily mean that there is one "heavy" wound. When I hear "heavily wounded," I think of someone with a number of wounds, probably of varying degrees, some of which are non-trivial. It can be just one big wound, but that's not the first impression I'd have.
For an individual "heavy" wound, I'd use serious wound or severe wound (I'd've said "or major wound," but Ngram doesn't seem to back that up). Ngram suggests that severe was the term of choice for some time, but that serious is on par with it in modern times: