Oval Horn 8 Ohm 1W Speaker Tablet PC Speakers Loudspeaker Horn 30*20*4mm
speaker 8 ohm 1W
Even using 3.3V the current would be around 400mA that would overheat the speaker.
Because of the current (I) required using the +5V from a USB connector would be good.
To keep the speaker from over heating the maximum current needs to be reduced, using a 6.8 Ohm resistor (R1) in series will fix this; it should be at least a 1W resistor to be safe a 2W is best. A transistor can be used from a PWM pin again with a current limiting resister (R2) a 470-220 Ohm 1/8 Watt(or higher) will do; from the PWM output pin to the base input of the transistor (Q1)
Example of an NPN transistor design for use with PWM.
2N2222 PWM speaker Driver
The 2N2222 is used as it can safely be used at up to 800mA (Ic)
2N2222 pinout diagram
If you use a FET transistor for Q1 then it should be a logic level input to work with 3.3 Volts input; so the RDS on resistance is good, else it can dissipate power in the FET device instead of the speaker. Two FET devices as an example MOSFET AO3400 or the IRLZ34NPBF
Adding a capacitor (C1) can reduce the heating in the speaker by decoupling and DC offset.
Another option in place of having to waste power in the Serial Resistor (R1) is to use a
CQRobot Speaker 3 Watt 8 Ohm for Arduino with the 2N2222.
To use the speaker in analogue mode would require a more powerful complex transistor circuit or one of the many cheap amplifier IC's available.