I made the shape shown at the top of the picture and created an Art Brush set to 'Repeat Along Stroke'.

The bottom left corner is the critical bit (I think) the top of the stripe has to be on the corner of the rectangle to make it look continuously wrapped. The length of the blank rectangle to the right should be half the length of the stripe and the angle of the stripe determines how 'tight' the wrap is.

Having a fat, long, lazy stripe that is blurred along the edges should give the effect in your example - maybe, possibly. I haven't really played with brushes before so I'm not confident, just guessing.