It's possible. It actually happens when your map has finished loading and is on map initialization stage. That means, you can do it via a simple map init trigger that plays a sound (or a music).
yes, u cant play sound while loading, but while u r w8ing the other players. Just simply make a trigger that has a Map init event and action with Play - your sound
Ghan has said he has fixed this. Monovertex please confirm this fix. This was only a problem with people that had signatures in the upper levels like not the special members but the respected members.