I'm relatively certain that the entity "embed" isn't really compatible with the mobile safari browser. Although, you could just use a <noembed> tag.. then you could just link to the file and they can play it through the default media player. It would look like this:
But it seems that you're trying to make it play automatically..?
<!-- You can see that I didn't close off the "embed" tag and instead did it shorthand with this little '/' thing -->
<embed src="../notify.wav" autostart="true" width="0" height="0" />
You're on iPhone! Click here to play the sound: