i just tried to set up the game with wine and also didn't get any audio. in my case, there seemed to be a conflict between system and wine SDL audio libraries (see 'SDL applications' section of
https://wiki.winehq.org/Sound).
i was able to fix it by launching the game with:
env SDL_AUDIODRIVER="" wine ./COGMIND.exe
this was the only issue i had. everything else is working fine without any further config.
(opensuse tumbleweed, using wine 2.11)