The mBot itself does not have the capabilities to play any recorded sound. I'm being broad and defining that as anything in a sound file, ie WAV/OGG/MP3.
The only way to generate sound on the mBot is using the piezo/buzzer. There's fun ways to try and stretch the capabilities of the buzzer, but nothing that comes close to the "simple" desire of playing a sound file.
When using the mBot in tethered mode, you can have sensors on the mBot cause mBlock/Scratch to play a sound file.
This means that the sound file is coming from the computer. If you want to build a device where the sound comes from the mBot unit, you could use a small Bluetooth speaker to bundle sound output into the robot.