Good question. Well the case of Voldemorts wand is solved. Pettigrew must have sneaked it out from Godric's Hollow after his masters defeat.
That leaves Lucius and Bellatrix. Well given that Lucius is a well established rich persona in the Ministry itself. He probably had no issues in getting back his wand using his influence. After escaping he could have bribed someone or adopted other vile plans.
Conjecture: Bellatrix was a hardcore criminal. Perhaps at the time of her arrest she had no wand on her. That's why she got caught at a sticky situation. Even if she was arrested with wand intact the Dark Lord could have obviously made efforts to retrieve the wand of a faithful servant. After all he made regular visits to the Department of Mysteries without even being seen.
As regards wands being broken, going by the movies, only two students were threatened with that - Harry and Hagrid. Harry received the warning while Hagrid suffered the punishment owing to rearing Acromantulas and accusation of a murder. Other than that, even Dumbledore went to Azkaban in Chamber of Secrets. His wand wasn't snapped.
Conjecture : While being chased by Sirius wormtail might have done what follows. He perhaps caught Sirius unarmed. Remember Sirius isn't the most patient person. When he saw no sign of struggle at Wormtail's house, he gave chase in a hurry. So he might have forgotten his wand. Pettigrew blew up the street and left the wand at the site before transforming into the rat. The ministry never thought to cross check the wand given the magnitude of the crime. (Similar to when Winky was found with a wand and they didn't check whose it was) They arrested Sirius immediately with the wand. Voldemort wouldn't have bothered taking the pain to retrieve Wormtails wand. He was a bit faithless. Hence Peter needed a new wand.
Citing Winkys arrest, Priori Incantatem showed the spell last performed not who performed it. So Wormtail couldn't be caught by that. Hope this helps.