AttractMode is a front-end. It isn't specifically designed do what you ask. You could add an intro movie to AM, but it wouldn't play instantly... it would take at least 30 seconds or so.
Something external where I can connect to a small speaker inside the unit.
My advice would be one of the following:
1. Launch an MP3 before everything else in a startup script
2. find some kind of chime hardware that runs off of wall power, install a relay that triggers it on start up.
3. same thing, but use the Raspberry Pi's GPIO to trigger it.
4. Some pinball machines use (basically) a little xylophone. You could install one and trigger it on start up.
So... all of that said, personally, I think the simplest method would either be to use whatever your front-end is to trigger a movie or an MP3 on launch or use a startup script to launch an MP3 player before it launches your front-end.