The first part of my attempt to produce a tone sound.

   1  
   2  from struct import pack
   3  from math import sin, pi
   4  
   5  def au_file(name='out.au', freq=400, length=2, A=0.5):
   6  	f = open(name, 'wb')
   7  	f.write('.snd')
   8  	f.write(pack('>5L', 24, -1, 2, 8000, 1))
   9  	T = 8000./freq
  10  	for i in range(length*8000):
  11  		angle = 2*pi*i/T
  12  		val = pack('b', A*sin(angle)*127)
  13  		f.write(val)
  14  	f.close()

The reason that I use '.au' instead of '.wav' is that
the format is much simpler. Both are supported on my 6600 phone.

Here's the second step, after removing some bug.
(data size can't be -1, I must calculate it too)

   1  
   2  from struct import pack
   3  from math import pi, sin
   4  import e32, audio 
   5  
   6  def tone(freq=440, duration=1000, volume=0.5):
   7      f = open('D:\\out.au', 'wb')    # temp file
   8      f.write('.snd' + pack('>5L', 24, 8*duration, 2, 8000, 1))  #header
   9      for i in range(duration*8):
  10          sin_i = sin(i * 2*pi*freq/8000)  # sine wave
  11          f.write(pack('b', volume*127*sin_i))
  12      f.close()
  13      # now play the file
  14      s = audio.Sound.open('D:\\out.au')
  15      s.play()
  16      while s.state()==2: # playing
  17          e32.ao_yield()
  18      s.close()

The code is still quite slow. I'm not sure why (haven't test).
Either because of sin() or pack() or f.write()
A solution could be using a smaller file and play it multiple times.
But this small code should be enough to demonstrate an idea.