Oh, now I see what you are saying. Sorry. Yes, it does work for me. (OS X 10.10.4, MMA 9-10.2). Never had a problem with it.
On Programming Cloud in a browser?
Do other interactive boxes work on your computer, e.g. does Manipulate work as expected? Which version of Mathematica
Not Mathematica. Programming Cloud.
I guess that this is not a problem specific to Play. Can you play any wav-file after importing it?
As I said, the docs Play example works fine.