Change Whatsapp-for-Mac notification sound
To the best of my knowledge this is not possible with the current desktop version of WhatsApp.

Some users have tried changing the notification sound on their iPhones in the hope it would also change it on their 'synced' desktop version, but this doesn't work either. 

And, as you've stated, showing package contents doesn't seem to reveal any audio files.

However, the desktop version has only been around for about six months, so it's ripe for user feedback. I'd send an email to support@whatsapp.com.

Good luck!