That sounds like Falcon, by the same people who did Way of the Tiger and Duelmaster.
Yes - that was it!
I was introduced to Lone Wolf by one of my RPG friends. It introduced a lot of people to the idea of roleplaying, it seems. (My introduction was a Swedish Runequest-clone with D&D trappings.)
The first physical CYOA-book I ever read was actually some of the long-form Donald Duck comic pocket books. They where seldom the entire book, just a portion of it, and thus not very expansive. But it’s the only comic book implementation of CYOA I can think of (though I’m sure there are others.)