In your version of PowerPoint, the Option is Insert > Media (first, then choose from video or audio).
However, if you are on a laptop or tablet, your screen might be to small for all of the options to show up on the ribbon. Because I can't recreate the problem right now, I'm going to advise you from memory. When you are on the Insert Tab in Office 365,
go to the right side of the Ribbon and look for a double chevron that should launch a pop up with all of the tools that aren't showing up on your Ribbon (because there isn't room). Your Audio option might be in there.
And finally, and this is grasping at straws, are you in Touch Mode on your device. Touch mode has been know to disable certain tools. Here's link for turning Touch on and off: http://office.microsoft.com/en-us/help/turn-touch-mode-on-or-off-HA104042278.aspx
Sandy