Roy Orbison won't be "Only the Lonely" when he films a Cinemax Sessions special Wednesday in Los Angeles. Among those joining the be-shaded star for renditions of such classic songs as "Blue Bayou" and "Dream Baby" will be Jackson Browne, Elvis Costello, Don Henley, Maria McKee, Bonnie Raitt, J.D. Souther and Tom Waits, with T-Bone Burnett serving as the show's music director. Segments will be shot in color and black-and-white at a location that is being kept secret in order to avoid a crush of fans. "Roy Orbison & Friends" will air on Cinemax in early 1988.