The only way to do audio is to do a video link. When I do musical examples for my music theory Hubs, for instance, I create youtube videos which can then be embedded into video capsules. This works well, but can be a bit time-consuming.
I'm not certain what the copyright issues are with audio that is not yours. Music rights are complicated--just for starters, the rights for a musical composition are separate for the rights for a particular performance of that composition--and the rules for online use are, I believe, still evolving.
You probably need to find someone who is really well-versed in this, and go over the exact material you want to use--for example, some songs are still copyright, older ones may be in the public domain--and exactly how you want to use it--for example, a brief extract used as an illustration is a different thing than is a complete song presented for its own sake.