The behavior you're describing sounds like you have your device muted - on a muted device, sound effects are only played via headphones. To unmute it, you need to either move the switch on the side of your iPad, or tap on the bell icon in the Control Center (if you have your side switch set to lock the screen rotation).
You can import external files into Pythonista via the share extension. First you need to get your sound file into an app that has a "share" option for files. Then "share" the file from that app, and select "Run Python Script" in the bottom row of the share sheet. (If Pythonista's share extension isn't shown, scroll all the way to the right, tap on the three dots, and turn Pythonista's share extension on in the list.) In the Pythonista share extension, you should then have an "Import File" option.
Pythonista doesn't show up as a normal "Open In" target because of Apple's app guidelines, which prohibit apps from executing external code. The detour via the share extension is allowed, because it has a special case to not allow importing Python scripts. (I mean, you can just rename the Python script to .txt, import it, and then rename it back. But the app review team is happy with this, and that's all that matters.)