Several reasons why I clay first, no matter what I'd planning to do. Basically, I always want the cleanest surface possible when I'm abrading it.
Removing contaminants will make for a smoother surface, the better for your wetsanding to end up uniform. Likewise, claying will remove contaminats that can, well, contaminate your sanding media, leading to unfortunate results. Sanding can even force contaminants down into the pores of the paint under some circumstances (that's why painters clean a panel very carefully before they sand the paint down when refinishing). And some contaminants will cause the paper/rotary pad to ride over them, leaving the contaminants and untouched paint under them. Odd, but it happens. It's not so much a matter of the clay reaching down deeper, but rather a different process at work, cleaning things up before you start the next process (the wetsanding).