Hey there! You can make one file with it playing twice, as you suggested....ooooor you could just set it to play not looping, wait 1 or 2 seconds and play the sound one more time.
Currently, the alarm is set to stop playing at the start of "level 1" and not on the main menu event sheet. You'll want it there since you're loading that layout when the level layout ends. Just to make sure there wasn't an issue with your file, I tried this and it works jut fine for stopping the alarm.
As for an easy way to playing the sound while overlapping the nebulas:
if player is overlapping nebula + once while true (This is in the system object) - play sound looping
else - stop playing sound
If you do that, you'll want to adjust your collision boxes because some look a tad off.
I'd also recommend that you condense your 3 nebulas into one object with 3 frames for it's animation (and set that animation speed to 0, the default should be 5). You can change how the object reacts to the payer depending on which frame is active in the nebulas animation (quick example: if nebula is playing animation "default" and it is at frame 2, subtract 5 health from player).