Can we insert an audio file instead of image file in a quiz question?

Yes, you can add audio or video in place of the 'question text'. Steps below:

1. When creating a new question, select the New Written Response option. 
2. Click on the Question text field. A drop down menu appears.
3. Click Insert Stuff.
4. Select any of the options provided to add what you want, eg. Panopto for a Panopto video, embed code for a Youtube link etc.

Result

Your audio/video file has been added to the question.