Je voudrais un manteau fourré en laine, s'il vous plait.

English Translation

I would like a wool-lined coat, please.

Is it
“I would like a wool-lined coat”?
Or is it
“I would like a wool coat with a lining”?

It can be both. I’d say the default is wool-lined, but it’s one of those ambiguous constructions. You’d probably have to specify it in some form (eg, stress while talking, repeating with a pause at the right place, etc) to really make it clear