Minecraft is a little bit picky about what audio files it plays.
Sometimes it happens that audio files work fine in other audio players, but FancyMenu failes to play them.
If that's the case, you can try to fix the audio file to make it work in Minecraft.
In most cases it's pretty easy to fix OGG files.
90% of your audio file problems get solved by simply re-converting the file.
The file should work fine now.
If it still doesn't work, make sure it's not a super big audio file and check if the audio file plays in other audio players.
For WAV files it's mostly an unsupported sample rate and similar things that make the audio not work correctly in Minecraft.
Make sure that your audio:
You can easily (re)convert your audio to the correct bit and sample rate by using this website:
https://audio.online-convert.com/convert-to-wav
IMPORTANT:
Even if you think your audio already has the correct format, bit rate and sample rate, please re-convert it anyway using the website mentioned above.
Sometimes it's not the file that's broken, but other things that are not configured correctly, etc.
Maybe your Minecraft volume is too low for you to hear the audio.
Make sure the MASTER channel and all other channels are loud enough.
Maybe another mod is incompatible with the audio system my mods use.
In that case, please open an issue on GitHub, thank you very much.