That's not true. For example, when $n=1$, $\sin x$ is an element in $W^{1,p}_0(0,\pi)$ since it is a $W^{1,p}$-limit of elements in $C^\infty_c((0,\pi))$. However, $\sin x$ does not have compact support $(0,\pi)$. In general, if $\Omega$ has a nice boundary (for example if it's $C^1$), $W^{k,p}_0(\Omega)$ are those in $W^{k,p}(\Omega)$ which vanishes at the boundary. To be precise, there is a bounded trace operator
$$T : W^{k,p}(\Omega) \to L^p(\partial \Omega)$$
so that $Tu = u|_{\partial \Omega)}$ if $u\in W^{k,p}(\Omega) \cap C(\overline\Omega)$. And we have
$$ W^{k,p}_0(\Omega) = \{ f\in W^{k,p}(\Omega): Tu = 0\}.$$
The proof can be found in Evans' PDE for example.
So if you have a problem, where you need two weak derivatives and the boundary condition $u_{\partial \Omega}=0$ the natural space is $W_0^{1,p} (\Omega)\cap W^{2,p}(\Omega)$. If the first derivatives also need to be zero then the natural space is $W_0^{2,p} (\Omega)$.
– Martin Jul 17 '16 at 14:57