I had the same problem, and as far as i know, u can't get sound using save state. To get sound you'll have to use the game's native save system- (load the game without save-state, except for passing the Dextrose intro). If your save-state after the Dextrose intro doesn't have any sound, then make another save-state.
If you don't like using the native save, then try Pj64. this allows you to get sound after you load the save-state, but for me, the controls don't seem to respond, plus PJ64 has some issues with the recompiler/interpreter, but these can be fixed.
Hope this helped