Yes, it’s possible to reproduce media with other players.
If you try the URL by itself, does it give you the file? I tried it, but it doesn’t seem to work, it’s not sending me the Membership Options Page… https://gnba.net/?s2member_file_download=test.mp3
Once you get the URL by itself, try it in the embed shortcode.
If that doesn’t work, it may be that the player trying to load the file is not recognized as part of the logged in user’s session, in which case you’d need to give it a download key in the URL.
Did you try generating a download key for the link to the file? See: WP Admin > s2Member > Download Options > Shortcode Attributes & API Functions > Download Key
I don’t think you can have a shortcode inside another one (
audio), though. You may need to use PHP to get the URL with the key…
I hope that helps! Let me know how it goes.