Would Arduino Nano be good for Bluetooth + Sound
There are Bluetooth boards and chips that you can connect to a Nano.

You can play sounds with a Nano. Crudely with PWM and a direct connection, for finely with an external digital-to-analog converter.

But if super-smallness is what you are after, there may be better options. 

The Blue Bean is a complete  BLE microcontroller on a single board that is smaller than a Nano+board.

If you want even smaller, you could get something like the new Cypress EZ-BLE module...


http://www.cypress.com/products/ez-ble-module-bluetooth-smart

It is a complete programmable BLE system on a tiny module. It is hard to imagine anything smaller than that!