XTronical has a very nice set of tutorials and a library for playing WAV files on an ESP8266 or ESP32
https://www.xtronical.com/the-dacaudio-library-download-and-installation/
The library uses the DAC on the ESP32 to drive a speaker to play a WAV file. The file is included as hex in the text of your code not as a file read from memory. Playback sounds best if you use an amplifier between the ESP and the speaker (e.g. Adafruit PAM8302)
I’ve created instructions and the custom code interface and an example ESPHOME project yaml