The `ip link` command is a key; can it change MTU for a wlan connection?
Either way : `ip link set wlan0 mtu 4000`
But do the AP supports sk jumbo frames or can it be configured to do that?
Linux uses MTU discovery when sending UDP so outbound and outsize UDP packets can be rejected by the system (EMSGSIZE error.) MTU Path discovery can be disabled but still the network equipment will drop outsize datagrams (and it won't fragment them.)
UDP = User Datagram Protocol (so as a default it should reject oversize packets , one datagram = one (ethernet) frame)