As far as I know, almost all of the Bluetooth smart bulbs that can play sounds are just a Bluetooth speaker relaying the sound from another source. In fact, most of them can’t even be controlled as a lightbulb, only as a speaker, or you have to use two different apps, one for each. Which is pretty annoying.
I can imagine a MacGyver set up where you have a switch that turns on a smart plug that a table lamp is plugged into. The table lamp has the speaker bulb in it. The bulb turns on because the table lamp is turned on. And you have a separate automation which uses an Alexa routine to start playing something through the speaker bulb when that original switch is turned on. But wow, that would be complicated, and probably have some lag between the switch being pressed, and the sound started. And also, I don’t think you could do a specific sound. So it doesn’t really feel like a fit for most people.
Also, you’re probably not going to find one of the speaker bulbs with an SD card because the bulb probably gets too hot.
Instead, I would suggest just using an echo dot for the sound, because they offer a lot of different sound effects. And you could combine that easily in an Alexa routine with a light coming on. In fact, if you have a hue bridge, you could have a light coming on itself be the trigger for the sound effect. That would be pretty straightforward and pretty cool. But the sound would be coming from the echo dot, not from the light bulb, so I don’t know if it fits what you had in mind.
These sound effects are a popular way to do doorbell chimes, for example.
Here’s an Alexa routine that would play a trumpet sound when a specific light was turned on:
So not exactly the same thing, but might be of interest to some people.
also note at the present time only smart bulbs connected to a hue bridge can be used as the trigger in an Alexa routine. You could still do it with other lights connected to Smartthings by having that light coming on turn on a virtual device using a SmartThings routine, and then having the virtual device act as a Trigger in the Alexa routine. So doable, just more complicated.