If the photoshop still menu has more than one single layer, you will not be able to add audio in the menu. If you look at the property inspector for the menu you will see audio if you are using a single layer PSD or a PICT file.
If you want to use a PSD, you can but it has to be one layer. You can always use a PICT overlay as the menu with simple highlights and that will give you audio.
Use a 2 layer PSD as the menu asset picture and you will note that the audio option will disappear.
see PICT file menus in a prior post for more info on PICT menus.
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