Until WSL2 gets native support for audio, you can run Windows PulseAudio yourself - there are various guides listed in the comments of this issue:

https://github.com/microsoft/WSL/issues/5816

I've been running apps via xpra instead of X forwarding, and audio works fine there. For silly reasons I'm doing it in Docker, but there's no reason to do that part if you don't need the ephemeral containers.

https://github.com/mook/wsl2-xpra-generic