Did you import the sounds correctly? They should be in the Sounds folder, and WAV files get converted to WEBM.
Also, you should use "Audio Play" action (not "Play by name"), and select the sound from the list.
And finally, if you play a sound inside of "Keyboard Z key is down", it will be repeated many times per second and will sound distorted. You should play it in "On key pressed" event, which is triggered once.