You have three options for an HOn3 Shay that I know of. Currently, none of them come with sound.
1. NWSL powered Keystone Shay. Requires a lot of cutting, filing, fitting, and other work to finish (the metal is soft, so it's not as bad as it sounds). If you're comfortable with this, it's an excellent option. The boiler is hollow, so the electronics can fit in there, and then a speaker can be placed under the roof of the cab. Again, you need to be comfortable with metal and mechanical work to do this. My Keystone Shay ran great in tests, and is currently waiting to be painted.
2. MDC/Roundhouse 2 or 3-Truck Shay. Also a kit, but metal work is pretty minimal. The mechanism, on the other hand, requires a LOT of fine tuning to run well. I'm working on one right now, and I can tell you right up front that you will want both NWSL gear kits for these. The stock MDC gearbox gears are poorly made, and the axle gears are too large to work properly in their trucks. BUT, once it's all tuned, it's a great steam engine! Except for a little wobble, mine's a very smooth runner now. There's room for electronics and a speaker in the tender(s).
3. Brass. I usually see at least one brass HOn3 Shay for sale on eBay (like this one). They're expensive, but they're also highly detailed and engineered well. Some need remotoring, and most should get a good cleaning and have fresh oil and grease for the shafts and gears. Brass is usually pretty hollow, so there should be enough room for electronics inside.
Yellow Dog Bill
I found one on youtube and the guy said he had to remotor, whatever that means,
It means he had to take the old motor out and put a new one in. Older motors often use a lot of power, make a lot of noise, and don't run very smoothly, so a much better new motor is put in place of the old one.