I believe you would need to render your frame animation out as a mp4 video then open a new document and create a video timeline. Add the mp4 video asset and add an audio track to it. Then render a new mp4 that had the video with and audio track. That video with audio can be added to a video time line and have an additional audio track added.
Thanks for the response, but I guess that doesn't help. If I can't hear the audio as I'm animating frame by frame, how can I line up the animation to the audio properly? Seems like a big problem if the program can't do this.
Photoshop is an image editor with some animation and video capabilities. You should look into a video editing product like premier.I do not do video but even with a video editor I do not think you will be able to step frame by frame and hear audio to see if its in sync. I think you would need to shift the audio track or video track relative to the other and the play at full speed to check the sync and note if need to change the frame rate to match the audio better or add or remove frames. For changing the audio rate would distort the sound your eyes are more forgiving then your ears. With Photoshop you should also be able to shift the the tracks relative to the other.
Frame animations do not have audio. Video can contain audio and can also also have separate audio track.