Oops... I wasn't logged in... so I wasn't seeing new posts...
You can program it to display any HTML you like... like HTML which plays a wav file. Yes.
The script is in PHP... so it behaves like PHP (server based, executed when the page loads).
I think what you're looking for is either a NOAA weather radio (mine works great!) or Interwarn.
Personally, I'd go with the radio.