If you have a URL of a sound file, you can embed it onto the page simply by embedding the link to it.

However, it won't display very well.

Add the URL as the source to an audio html element, by pasting it into the code below and then embedding as code rather than URL.

<audio controls src="http://soundfx.primary-apps.com/fx-dundunduun.mp3"></audio> 

Upload a sound file (e.g.  xxxxx.mp3  or xxxx.wav )to Drive and share it so that it is avialable to everyone.

Then embed the share link as the file's URL.

It will use the Drive player which isn't great but does work.