Thanks for the heads up. I checked in the latest x86 lubuntu with Opera 12.16 and indeed can't get anything to work. I tried a wav file, a vobis file (with oga, ogv and ogg extensions) and an mp3 (also with a .wav extension).
Never paid attention to this on Linux before. Odd that the UI for playing a sound and choosing the wav file is there even if it doesn't work.
So, I guess there's nothing you can do.