WordPress itself is supposed to allow different embedding of media, such as the one you want to do. However, WordPress’s ability to do this has been a mixed bag and not perfect. Support for embedded media is more of a WordPress function than a theme, whether audio or video, so you may want to post your issue to the wordpress.org forums if you are using the WP method of embedded media. If you are using a plugin for this, contact the developer and see what they might have as a solution.