Yola does not limit the types of audio you can upload to your File Manager for your website, it is more dependent on your computer settings, browser, etc. MP3's are a popular choice; while the quality isn't top-notch it is one of the most versatile formats. If you have a specific file type you want to use, you should give it a shot. If you run into any problems please let us know by clicking the email link below, we'll see how we can help.
If you want to specifically use the MP3 widget, then the audio format does need to be in .mp3 format.