Looking at this expression

Sound[Table[Play[Sin[k 1000 t], {t, 0, 0.2}], {k, 1, 3}]]

Play has the HoldAll attribute, which prevents the substitution for k in the table. So you end up with a bunch of sound expressions that have a raw k in them, which makes them invalid.

You could create the Sins first and then map Play over them:

Sound[Play[#, {t, 0, .2}] & /@ Table[Sin[k 1000 t], {k, 1, 3}]]

Or you could inactivate Play inside the table and re-activate it once the table is complete:

Sound[Activate[Table[Inactive[Play][Sin[k 1000 t], {t, 0, 0.2}], {k, 1, 3}]]]

I wouldn't be surprised if there were a function designed to do this kind of think automatically, but I'm not familiar with this domain.