Unfortunately the Arduino Mega is a little too slow to play music and doesn’t have a digital to analog converter (DAC) to make the correct signal.
A Teensy 4.0 is quite a bit beefier and allows for the audio shield to be added to close the rest of the project
If you are looking to add audio an audio FX board is your best bet, you upload audio to them and then can program them to play from a serial connection.
Unfortunately no pins are able to run the speakers directly, to add to Bobs comment as well, the Arduino’s pins are only able to push 20mA (0.1W which is very quite!) You’ll definitely need an amp somewhere in the mix.
How long are the tracks that you want to play? The FX board is good for a short while but the Teensy can hold quite a bit more.
You’ll only need one or the other
Ohhh yeah there are so many boards and a lot of gotchas. This one seems pretty plug and play as well: Voice Recorder Module-breakout Australia