Broadly, yes... but it doesn't reveal a whole lot about you.
Any link you click (whether from an email or elsewhere) makes an HTTP request to a remote server. The server handling the request will receive some details about what you were asking for (domain name, filename, the IP you made the request from, etc).
So whatever information is in the link address, may be recorded in an event log in the remote server. This is how "tracking pixels" in emails and on websites work. They often have a small (possibly 1 pixel) image, with a URL unique to that email. When your web client loads it to display the image, they record your IP address.
IP addresses can be used to determine things like your physical location (usually down to your city, but not generally your physical address unless they have access to your service provdier's records). It also reveals who your Internet Service Provider (ISP) is, and could be correlated to other traffic if you visit more sites controlled by the email's sender.
It's also possible in some rare circumstances to embed malicious code into a wav file. Here's a couple examples of past incidents where this might have been the case. Usually, these types of risks aren't available to exploit for long, provided you keep your software up-to-date.
It's still best not to play WAV files from unknown sources. It's up to you to determine whether the risk that the WAV file might be malicious is worth whatever might be gained by listening to it. The same is true of opening any file sendt to you by email or downloaded from a website.