Linking audio to shapes in Keynote

There's no built-in button that will do what you want, but I have a couple of ideas that might suffice.

If it's a single shape/audio track on the slide, then you can setup a transition/action that will start the audio when you click.

For the Shape, set Animate -> Action -> and choose an action (I selected 'Pop' to simulate a button being pressed)

For the audio track, set Animate -> Build-in and set to Start Audio (this should be the default).

Then click the Build Order button at the bottom of the Inspector.

First select the rectancgle and make sure it's set to start 'On Click', then select the audio track and set its start to 'After Build 1' (or your button object):

Now when you click on the slide (technically, anywhere, not just on the shape), it will start the audio.

This breaks if you have multiple buttons and multiple audio tracks since it's really just associated with a click and not the actual 'button' itself.

For more a more complex approach that supports multiple buttons/audio tracks, you probably need to create separate slides - one per audio track - and use the Format -> Add Link. menu item to link each button to a specific slide in your deck. That way clicking the object will act like a button, and each slide is setup to play a specific audio file automatically.