Preferably through a base64 string, if possible. I suppose loading it into memory via the audio object wouldn't be relevant to this if the base64 string is stored in something such as a dictionary object.
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In a web game you can upload audio files into the Media folder, without adding them to the project, and play them using "Play (by name)" action.
I don't know if there is any way to request audio files from a remote server with AJAX. There is an old addon that allows playing audio from BASE64 string, but it's for Construct 2:
github.com/Pseudopode/construct2_plugins_behaviors/tree/master/pode_audio_base64