Pulsed-laser deposited, non-polar MgxZn1-xO/ZnO and MgxZn1-xO/Zn1-yCdyO quantum well heterostructures were fabricated in radial direction on ZnO microwires with well-defined hexagonal cross section. Optical resonances modulate room-temperature luminescence spectra for all fabricated heterostructures demonstrating their applicability as microcavities. Quantum confinement was proven by time-integrated and time-resolved luminescence. The ZnO quantum well emission was tuned between 3.76 and 3.35 eV by adjusting the well thickness and barrier composition. In order to further reduce the QW emission energy, active Zn1-yCdyO quantum wells in MgxZn1-xO barriers were grown emitting between 3.07 and 2.70 eV for different well thicknesses but fixed barrier composition.