It sounds like he’s wanting to make it a function of his game/project to be able to browse to disk select a sound from disk, and play it directly.
There is no direct support for that but if you’re a programmer you can technically do it. You’d have to load the .wav file yourself, parse it, then create a new USoundWave UObject, then feed the parsed PCM data into the object directly. That USoundWave object can then be saved as an asset I believe… I’m not super familiar with that side of UE4 (creating new UObject/UAssets from user-generated content… where to store it, etc). But I believe it’s possible. Then once you have a USoundWave, you can play it through the audio engine using the normal playsound/spawnsound API, etc.
It’s certainly not going to be an easy thing and there’s no documentation about how to do it.