An inequality involving the Wasserstein distance and chi-squared distance $\newcommand{\N}{\mathbb N}$Let $P$ be the set of all probability mass functions on $\N_0:=\{0\}\cup\N$, where $\N:=\{1,2,\dots\}$. Let $P_{>0}$ denote the set of all $q=(q_0,q_1,\dots)\in P$ such that $q_n>0$ for all $n\in\N_0$.
A previous MO post asked the following question:

Is there a function $f\colon[0,\infty)\to[0,\infty)$ with $f(0)=0$ such that for all $p=(p_0,p_1,\dots)\in P$ and all $q=(q_0,q_1,\dots)\in P_{>0}$ we have
\begin{equation}
    W_1(p,q)\le f(\chi^2(p,q)), 
\end{equation}
where $W_1(p,q)$ is the Wasserstein distance of order $1$ between $p$ and $q$, and
\begin{equation}
    \chi^2(p,q):=\sum_{n\in\N_0}\frac{(p_n-q_n)^2}{q_n},
\end{equation}
the chi-squared "distance" between $p$ and $q$?

The answer to this question is negative, even with the later added condition that the means for $p$ and $q$ are the same.

However, as will be shown below, the answer becomes positive if $f$ is allowed to depend on $q$ or, more specifically, just on the second moment
\begin{equation}
    m_2(q):=\sum_{n\in\N}n^2 q_n 
\end{equation}
of $q$.
 A: $\newcommand{\N}{\mathbb N}$By the known expression for the Wasserstein distance,
\begin{equation*}
\begin{aligned}
    W_1(p,q)&=\int_0^\infty dx\,\Big|\sum_{n>x}(p_n-q_n)\Big| \\ 
    &\le\int_0^\infty dx\,\sum_{n>x}|p_n-q_n| \\ 
&=\sum_{j\in\N_0}\int_{[j,j+1)} dx\,\sum_{n\ge j+1}|p_n-q_n| \\ 
&=\sum_{j\in\N_0}\sum_{n\ge j+1}|p_n-q_n| \\ 
&=\sum_{n\ge1}|p_n-q_n|\sum_{j=0}^{n-1}1 \\ 
&=\sum_{n\ge1}|p_n-q_n|\,n \\ 
&=\sum_{n\ge1}n\sqrt{q_n}\,\frac{|p_n-q_n|}{\sqrt{q_n}} \\ 
&\le\sqrt{\sum_{n\ge1}n^2 q_n}\,\sqrt{\sum_{n\ge1}\frac{(p_n-q_n)^2}{q_n}},
\end{aligned}
\tag{10}\label{10}
\end{equation*}
by the Cauchy--Schwarz inequality.
So,
\begin{equation*}
    W_1(p,q)\le\sqrt{m_2(q)}\sqrt{\chi^2(p,q)}. \tag{20}\label{20}
\end{equation*}
Moreover, taking any $q\in P_{>0}$, any $N\in\N$, any $h\in\big(0,q_0/\sum_{n=1}^N nq_n\big)$, letting
\begin{equation*}
    p_n:=q_n+hnq_n\,1(n\le N)
\end{equation*}
for $n\in\N$, with
\begin{equation*}
    p_0:=q_0-h\sum_{n=1}^N nq_n,
\end{equation*}
and looking back at \eqref{10}, we get
\begin{equation*}
    W_1(p,q)=\sqrt{m_{2,N}(q)}\sqrt{\chi^2(p,q)},
\end{equation*}
where $m_{2,N}(q):=\sum_{n=1}^Nn^2 q_n$. Letting now $N\to\infty$, we see that the upper bound on $W_1(p,q)$ in \eqref{20} is sharp, for each $q\in P_{>0}$.
