On the 'Choose Pronunciation' screen, you can press the preview icon for each suggested name audio file.
 

If you press the icon but cannot hear the audio preview, make sure My Pal Scout is NOT plugged into your device. Unplugging Scout will allow for the preview to be played over your device's speakers. You will be asked to plug Scout back in later in the personalization process.
 

Please Note: This answer applies to My Pals Scout/Violet Smarty Paws (2022) and the previous version of My Pals Scout/Violet (2014) which has the LeapFrog logo on the ear and comes with an audio cable (rather than USB cord).