Kiwix is not able to read audio or video files itself. That is not a big problem yet, but it will be one. For example, with Wikipedia 0.5, I have removed 1Go of audio files. With the next version, we will have to manage with more audio files an certainly many video files.
I don't know how is the reaction of the soft now if I click such link. I think, it should at least provides a download file picker to open the file with an extern player.
This is not very good for a few obvious reasons. In any case that's not the best we can provide.
The best would be a small windows with play/pause/stop, able to read the media file.
VLC provides a mozilla plugin do allows that, and it seems relatively easy to integrate it inside the soft.
Take a look to :