Sound-related objects are not yet deployable to the cloud. Hopefully we can add this as a feature in a future version.
There are a couple of workarounds, depending on how you want the sound to be represented online. Try using ExportString to convert the sound to a String:
CloudDeploy@
ExportForm[
ExportString[
Play[Sin[700 t + 25 t Sin[350 t]], {t, 0, 4}],
"WAV"],
"String"]
This creates a link that goes directly to a sound file. You can use Import on the resulting url:
Import[resultingURL, "WAV"]