No electricity can be used or wasted if the lamp itself is turned off. It makes no difference if it has been turned off at the wall outlet or at the lamp itself.
It is the same situation as a flashlamp that has a light bulb supplied by a battery. If the flashlamp is switched off the battery inside it is still there, waiting to feed the light bulb with current, but the current can only flow into the light bulb when the switch on the flashlamp is turned on.