Unfortunately, the door itself can't make your custom sound.

You need to use a separate entity called ambient_generic. Then have your door trigger the ambient_generic or have both triggered by a button or something else.

Be warned: ambient_generic has a lot of confusing properties.

Make sure you set the sound file correctly. For example, if your sound file is: .../Counter-Strike/cstrike/sound/bla.wav then you should tell the ambient_generic it is bla.wav, .i.e everything after sound/ in the file path.