I honestly don't think it's possible. The size of a sound decoder plus a speaker would never fit under the hood. I've used TCS Z2 decoders, which are the smallest available, and that's a tight squeeze. If you must have sound, you're probably going to need to rig a car to trail behind the engine. The other issue would be that you'd have to find a sound file that sounds like a shay, which has a much different pattern than a reciprocating steam engine.
My advice would be to get a vinyl LP of shays working, and play the record while you run trains.
Lee