I think this is the wrong forum section to ask about gungame you should have asked in the gungame forum but anyway:
If you look in the gungame.cfg at the bottom there is a link to the welcome sound: gg_sound_welcome "gungame/gungame2.wav" change this to your sound file eg: gg_sound_welcome "gungame/myclanwelcome.wav" and then put the sound in the correct folder for this example it would be the sound/gungame folder.
I am not sure if gungame would then make everybody download the file just from doing this as i have not read the code but try it and if not you could always use a .res file or there are a couple of plugins that do this also.
They way i would do it is instead of using gungame to play the sound at the start of the map i would play the sound through the games motd as players would not have to download the sound they would just hear it at the start of the map.
Good Luck