Hi, @VeronicaC02!
I'm not aware of a way to download audio comments from SpeedGrader or the Gradebook.
If adding this functionality would be a benefit, typically the best way to suggest a change to the Instructure Product team is to submit an idea. Our Product team uses ideas shared there and other places, like focus groups, to learn users' pain points and prioritize projects.
However, in a quick search through our existing ideas, I found one that I think captures your ask: [Gradebook] Ensure audio comments in Speedgrader can be download. If that covers what you were wanting to suggest to Product, great! If you don't think that covers everything or if you have additional ideas to share, you can create a new feature idea.
Naomi