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The random variable \\(W\\) appears in many areas of applied probability, such as queueing theory, risk theory. In the queueing theory it appears as a limit of appropriately normalized stationary waiting times in heavy traffic for some queues. This fact leads to studying the weak convergence \\({\\omega _n} = {\\sup _{0 \\leqslant t < \\infty }}({X_n}(t) - {\\beta _n}(t))\\mathop \\to \\limits^D W\\). It is known that this convergence is valid if:   (I) \\({X_n}\\mathop \\to \\limits^D X\\) in \\(D[0,\\infty )\\) with Skorokhod \\({J_1}\\) topology, and \\(X\\) is stochastically continuous; (II) \\({\\beta _n}(t) \\to \\beta t\\) for each \\(t \\geqslant 0\\); and (IIIA) \\({\\lim _{m \\to \\infty }}\\lim {\\sup _{n \\to \\infty }}P({\\sup _{t \\geqslant m}}({X_n}(t) - {\\beta _n}(t)) > \\varepsilon ) = 0\\) for each \\(\\varepsilon > 0\\). In some cases condition (IIIA) was replaced by condition (III): \\(\\{ {\\omega _n}\\} \\) is tight. The paper shows that, for a given L\u00e9vy measure \\(\\nu \\) concentrated on \\((0,\\infty )\\) such that \\(\\int_1^\\infty x \\nu (dx) < \\infty \\), there exists a sequence of M/GI/1 queueing systems in heavy traffic such that \\({\\omega _n}\\mathop \\to \\limits^D W\\) with L\u00e9vy process \\(X\\) having measure \\(\\nu \\). Theorem 1 contains the construction of that sequence. As a consequence of Theorem 1, the authors get the fact that in the set of limiting distributions of stationary waiting times in heavy traffic, there are some convolutions of Mittag-Leffler distributions or distributions of suprema of Poisson processes, Compound Poisson processes, or Gamma processes with negative trends. It is shown also that condition (III) for GI/G/1 queues is not implied by conditions (I) and 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