Looking for musical exercises using sage

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Producing sound (files) from python is pretty straightforward. Python has standard library support for it and more advanced packages that google can guide you to. This is not a task that sage specifically will be good at, but the python ecosystem should give you the basic tools for reading/writing sound data. Once you have the data you can analyse it and fourier transform it to your heart's content. Or you can produce wave forms and write them to sound files.

For actually playing and recording sound (not just reading and writing sound files) you could look into something like python-sounddevice or some other library, but be aware that if you are using a notebook (remotely!) the sound device on the server may not be the same as the sound device on the computer where your browser runs. In Jupyter, you may be able to use IPython.display.Audio.