It was possible in Captivate 2019 to create a custom tabbed interaction using objects such as smart shapes and buttons to achieve the kind of interation you describe here.
However, the new Captivate 12 version has sacrificed a lot of the previous customisation options in the quest for responsive design.
I cannot see any option in the tab widget to add audio to either the widget tabs or their states or the cards that appear. There do not appear to be any available events you can use to trigger audio file playback on those objects.
Perhaps someone can prove me wrong.