Is learning facts via audio while sleeping possible? Is there a way to make onself remember facts from an audiobook (containing for instance a list of countries and their capitals) played out loud while sleeping?
Theoretical perspective:
No. I don't think so. From a cognitive information processing perspective, I would hypothesise that declarative learning of new facts would not occur while sleeping. Of course, learning declarative facts while awake, but in bed (e.g., when going to sleep or when waking up in the morning) is possible, and sleep is important in consolidating what is learnt during the day.
I don't think the mind is capable of the kinds of information processing required to process facts when asleep.  

Empirical perspective:
Nonetheless, my theoretical perspective above may be wrong, so it is worth while looking at the empirical evidence. I found an early review of research in Simon and Emmons (1955). The study critically evaluates 10 or so studies on sleep learning and suggests that each of them suffers from some form of methodological weakness. 

Wood et al (1992) provide a more recent summary of the literature:


  When a distinguished committee of the National Research Council (NRC)
  recently concluded that sleep learning deserves a "second look" from
  experimenters (Druckman &amp; Swets, 1988; Swets &amp; Bjork, 1990). a
  distinguished sleep researcher swiftly and pungently disagreed (Webb,
  1990). This controversy is not new to the field of sleep learning.
  Disagreement has been common since the mid-1950s, when Simon and
  Emmons (1955. 1956) severely criticized the methodology of existing
  studies and demonstrated that recall and recognition for verbal
  material presented during sleep do not occur when proper experimental
  controls are exercised. 
  
  Although the views of Simon and Emmons were
  generally accepted, in ensuing years some empirical studies continued
  to report evidence of learning for verba! information presented during
  sleep (see reviews by Aarons. 1976; Eich, 1990; Hoskovec, 1966).
  Though subject to methodological criticism, their findings were
  buttressed by evidence from electroencephalographic and evoked
  potential studies that (a) transmission of auditory information to the primary auditory cortex is not different during sleep and the waking state, (b) habituation
  and conditioning can occur during sleep in both nonhuman animals and
  humans, and (c) some transfer of information to long-term memory
  occurs during sleep (see review by Wood, 1990). Furthermore, recent
  studies have suggested the existence of a cognitive unconscious
  (Kihistrom. 1987) and indicated that information processed outside of
  conscious awareness, for example, while under anesthesia (Kihistrom,
  Schacter, Cork, Hurt, &amp; Behr, 1990), can be stored in memory and exert
  an influence on later performance. In addition, research with both
  amnesic and normal subjects has demonstrated the existence of implicit
  memory, that is, learning that does not require deliberate or
  conscious recollection of experience (see reviews by
  Richardson-Klavehn &amp; Bjork. 1988, and Schacter, 1987).


Specifically, it appears that in their study Wood et al (1992) did not find any effect:


  This study examined implicit memory for words presented during sleep.
  Ten experimental subjects were presented with word pairs including a
  homophone and a close associate (e.g., “tortoise-hare”) and with
  category-instance pairs (e.g., “bird-cardinal”) during REM or Stage 2
  sleep and tested immediately afterward. Twelve control subjects
  underwent the same procedure while awake. Unlike the controls,
  subjects in the sleeping condition showed no learning effects on the
  implicit memory tasks. Recall and recognition were observed in a few
  cases, but only when presentation was immediately followed by arousal.


References


Simon, C. W., &amp; Emmons, W. H. (1955). LEARNING DURING SI. EEP?. LEARNING, 52(4), 1055. PDF
Wood, J. M., Bootzin, R. R., Kihlstrom, J. F., &amp; Schacter, D. L. (1992). Implicit and explicit memory for verbal information presented during sleep. Psychological Science, 3(4), 236-239.