Please read from the Audio manual article :
WebM Opus is the only audio format that works across all browsers and platforms. To ensure your audio works everywhere, make sure the URL serves WebM Opus audio. Otherwise whether or not audio playback works will depend on the audio codec support of the current browser/platform.
Play audio from a URL by adding it first with this action. Specify the URL to be played, the type (aka the MIME type) of the audio to be played, and pick a name to use for this URL. On its own this action does nothing - no request will be made to the given URL. However you can then pass your chosen name to the other actions that work "by name", such as Play (by name) or Preload (by name), it will then play from the URL you associated with that name. If these actions ask for the folder, it is not really used, but chooses whether the audio is fully downloaded and decoded before playback (for Sounds), or streamed (for Music). As with any other audio file, you can use the Preload (by name) action to preload the audio at the given URL, to ensure subsequent playback starts promptly.
Are you sure the MIME type on your server is properly set ? You are using the proper MIME type in the action ?
What does the browser console tells you when attempting to download your file ? (ctrl+i in Chrome should display it, before you attempt your download and provide you with further informations as to what might be happening)