17HMR and 22mag ammo isn't remotely close to center fire ammo price and they both at least double the energy and more like triple or quadruple the range of a 22lr.
I don't have a 22WMR, so the price info I got was from a web search. Unless you are a reloader, steel case ammo works just fine. When you are comparing the power difference between 22lr and 22 wmr, then look at the 223. The power increase of the wmr is relatively low compared to the price increase.
From Gunbot.net
0 round box - 17 HMR Hornady 17 grain V-max ammo 83170 4 hours ago
$0.26/rd [$12.95] in stock Hunting [SGAmmo]
500 round brick - 17 HMR Hornady 17 grain V-max ammo 83170 *SOLD OUT* 4 hours ago
$0.26/rd [$129.50] out of stock Hunting [SGAmmo]
Remington Premier .17 HMR Magnum Rimfire Ammo 28464/PR17HM1 5 hours ago
$0.40/rd [$19.99] in stock [Bass Pro]
CCI .17 HMR 17 Gr. Speer TNT Jacketed Hollow Point- Box of 50 9 hours ago
$0.25/rd [$12.50] in stock Hunting [Selway Armory]
.17 HMR Remington Premier Gold Box 17 Grain 2550 fps 50 Round Box *SOLD OUT* 12 hours ago
$0.54/rd [$26.85] out of stock [CheaperThanDirt]
Winchester .17 HMR Ammunition SUP 17HMR 17GR V-MAX 18 hours ago
$0.26/rd [$12.99] in stock Hunting [Cabelas]
Winchester .17 HMR Ammunition 17HMR 20GR GMPNT 18 hours ago
$0.26/rd [$12.99] in stock [Cabelas]
Remington Premier 17 HMR V-MAX 17 grn 50 rnd/box
$0.38/rd [$18.99] in stock Hunting [Ammo Supply Warehouse]
CCI .17 HMR 17gr TNT 50rds 0053
$0.26/rd [$12.99] in stock Hunting [PSA]
Hornady 17 HMR V-MAX 17 grn 50 rnd/box
$0.26/rd [$12.99] in stock Hunting [Ammo Supply Warehouse]
Hornady 17 HMR V-MAX 17 grn 500 rnd/box
$0.25/rd [$125.00] in stock Hunting [Ammo Supply Warehouse]
Hornady V-Max 17 HMR 17gr BT 50 Rnds
$0.28/rd [$13.95] in stock Hunting [RareAmmo]
Remington Premier .17 HMR 17 Gr. Hornady V-Max- Box of 50
$0.33/rd [$16.25] in stock Hunting [Selway Armory]
CCI Varmint Ammunition .17 HMR 17 Gr. Poly-Tip V-Max $0.30/rd [$14.99] in stock Hunting [Gander Mountain]
CCI/Speer .22 Rimfire Ammunition .22 WMR MAXI-MAG 8 hours ago
$0.26/rd [$12.99] in stock [Cabelas]
CCI Target And Plinking Ammunition .22 Win Mag 40 Maxi-Mag TMJ 50 *SOLD OUT* 15 hours ago
$0.26/rd [$12.99] out of stock TMJ [Gander Mountain]
.22 Magnum Speer Gold Dot Personal Protection JHP 40 Grain 50 Round Box 1050 fps 954 *SOLD OUT* 15 hours ago [B
]$0.35/rd[/B] [$17.40] out of stock SelfDefense [CheaperThanDirt]
Armscor Prec. 22 Magnum (WMR) 40 grn JHP 500 rd/brick
$0.36/rd [$180.00] in stock SelfDefense [Ammo Supply Warehouse]
CCI(SHOTSHELL).22 WMR MAG (SHOT) 20cnt 20rds $1.15/rd [$22.95] in stock [Ammobank]
Tulammo TA223550 TULAMMO 223 Remington/5.56 Nato FMJ 55 GR 20Box/50Case *SOLD OUT* 22 hours ago
$0.27/rd [$5.44] out of stock SteelCase [Firearms for Sale]
.223 Rem. TulFMJ 55 Grain 20 Round Box 3241 fps Steel Cased Polymer Coated 20 Round Box TA223550
$0.29/rd [$5.79] in stock SteelCase [CheaperThanDirt]
WPA (WOLF) .223 55grn FMJ 20rd Box *SOLD OUT* 23 hours ago
$0.29/rd [$5.79] out of stock SteelCase [AimSurplus]
Wolf POLYFORMANCE .223 Rem FMJ 55 grn. FMJ 500 rd/case
$0.30/rd [$150.99] in stock SteelCase [Ammo Supply Warehouse]
500 rds. Wolf .223 55 Grain FMJ Ammo
$0.30/rd [$151.99] in stock SteelCase [Sportsman's Guide]
Wolf Polyformace .223REM 55GR FMJ, 20rd. Box
$0.30/rd [$5.95] in stock SteelCase [AGS Armarment]
Colt .223 Rem 62gr FMJ 500 Rnds
$0.30/rd [$149.95] in stock SteelCase [RareAmmo]
MFS .223 Rem 55gr FMJ 500 Rnds
$0.30/rd [$149.95] in stock SteelCase [RareAmmo]
TULA AMMO 223REM FMJ TA223550 20 BOX
$0.30/rd [$5.99] in stock SteelCase [Trop]
223 Remington (5.56x45mm) 55 gr FMJ Wolf WPA Polyformance Ammo Case (500 rds)
$0.30/rd [$149.99] in stock SteelCase [TheArmory]
223 5.56x45 Ammo 55gr FMJ Wolf WPA Military Classic 20 Round Box 8 hours ago $0.30/rd [$5.99] in stock SteelCase [Ammunition Store]
223 5.56x45 Ammo 55gr FMJ Wolf WPA Military Classic 500 Round Case 8 hours ago $0.30/rd [$149.99] in stock SteelCase [Ammunition Store]
223 5.56x45 Ammo 55gr FMJ Wolf WPA Polyformance 20 Round Box 8 hours ago $0.30/rd [$5.99] in stock SteelCase [Ammunition Store]
223 5.56x45 Ammo 55gr FMJ Wolf WPA Polyformance 500 Round Case 8 hours ago $0.30/rd [$149.99] in stock SteelCase [Ammunition Store]