Guessing that’s just the way iPhone handles audio. Using third party browsers I’ve heard sound via a flash app. But 99.9% don’t have flash on iPhone. Maybe google “iphone audio JavaScript”.
Honestly, you don’t want to handle audio any other way than with the default player. Handheld devices have a lot to deal with in a small amount of space, having a default player that handles all media with an interface people will recognise and be able to use is a much better solution than custom players that can often be hard to work with (especially as many of them start downloading audio immediately!). Better to allow the iPhone to use that mechanism and let your users listen to the audio on demand. Having a standardized method of handling media is one of the iPhone’s best features - it eliminates the need for nasty script or flash solutions.
Scenario:
You are given an option to try 14 sounds.
Sound1 - Play
Sound2 - Play
Sound3 - Play
Sound4 - Play
…
If every sound is played in a default player, they have to use back button to go back to previous location and most users will not prefer to do this and will switch website.