Why doesn't ESP32 support NAND flash?
NAND flash wouldn't be supported for the basic program storage, because it's quite a bit more complex to work with.  The ESP32 isn't intended for grand expansive projects but to be an inexpensive solution for ordinary ones.
That said, you can use NAND, you just can't use only NAND.  Put a cheap small NOR on your board to boot from and use for program storage, and then add a NAND on general GPIOs and write (or more likely find and port) all of the needed flash translation code.
That said, you should really consider compressing your audio.  An affordable 32 megabyte NOR flash would hold quite a bit of compressed audio, and decompression libraries are available.
Managed NAND in the form of eMMC and SD cards may be an option as well - quasi-SPI interface to an SD card is going to be a lot easier than dealing with a bare NAND memory yourself, though in doing it yourself you do get to exercise control over the translation algorithm.