It's not illegal to sleep in your car at Walmart unless they have specific ordinances or rules against it in that Walmart location.
Some city ordinances prohibit Walmart from allowing overnight parking but some Walmart's allow you to park overnight or sleep in your car as long as you move within 8 hours or so.
So for example don't use the same Walmart Parking lot every night to sleep and you'll usually be fine.
However the worst that would happen is a cop knocks on your window and tells you to move on.
You can sleep in your car legally as long as you're on public property that allows you to be there for an extended period of time or you have permission from the property owner.
Sleeping in your car is not illegal as long as you're parked in a public location or a place you can legally be.
However parking somewhere that says prohibited for overnight parking would be illegal.
Although most times you'll just be asked to leave the area.
You could legally park overnight or for awhile in the daytime and sleep in your car at a rest stop.
I've done this myself on long road trips when I needed a quick nap or needed to sleep overnight.
But just be aware of your surroundings and if you feel uncomfortable just leave and go elsewhere.
In general not illegal to sleep in your car.
However, there are many exceptions to that rule, and laws for sleeping in your car will vary from state to state.
And, in general, private businesses are free to ban drivers from sleeping overnight in their parking lots.
Not everyone chooses to sleep in their car.