Audio in Game Pencil is handled by the basic Web Audio system. In Game Pencil you are able to easily create audio objects via the resource manager.
Audio types in the browser are not universally supported and thus a detailed study of Figure 1-1(below) should be taken into advice for browser support.
Currently Game Pencil's editor/engine does not automatically convert audio types; however, you are allowed to import multiple file types per audio object. There are a few tools such as Audacity, ConvertFiles.com, etc for simply file conversion. Please note that not all converters are created equal when it comes to quality of the lossless conversion.
Game Pencil on start does check for the proper file types to load depending on the browser/native export.
For console file types please see your console SDK's documentation.