To connect a speaker you’d most likely need a amplifier like this one
https://www.adafruit.com/products/987
And you could play back sounds from the DAC pins of the Photon direct, but the quality will be less than brilliant.
So using something like discussed in this thread might be handy
Adafruit VS1053 (mp3) library for music maker shield ported?
Power this with any good quality filtered 5V DC supply that’s able to supply at least 2A.
Supply the Photon via a diode into the Vin pin and the extra devices off the same supply too.