The DVD-Video format doesn’t support anything like this – in DVD-Video, button highlights are used to indicate the selected button. Button highlights are 2 bit graphical layer with no sound support.
However, you can fake this effect by using multiple menus, one for each button with the sound attached to the menu, link each button to its “sound” menu, and then use auto-activate feature on buttons to make the menu switch when the button is selected.
Beware this workaround gets tedious when there are several buttons in the menu, and will not work correctly on a software DVD player (you will have to click on the buttons to switch to the next menu).