Sound on click

NO, Appian does not have native support for playing sounds on click events.
Tried embedding HTML5 audio in webContentField but no luck.

Give a try on this plugin : https://community.appian.com/b/appmarket/posts/audio-player-component-plug-in

No, Out of the box Appian doesn't provide audio configuration on click actions. There are workarounds though which you can try/adjust as per need. Please refer this link discussing the same and hope you get it to work. 

For what purpose?

Only on the browser / client side is anything like this directly possible - in other words, as noted by prior responders, it's not possible.  I don't even think it's directly possible in websites that have more fine-grained control over their contents (at least without doing some nasty workarounds).