I want to play an audio that is in a WhatsApp folder. Is it possible with codename one to access images and audios that are in another application? I know there are other applications that can do it but in Codename One I can only access .cn1
Yes and no.
Mobile OSs force you to "stay in your lane" so you have no access to other applications or their files. This is core to mobile OSs and true for native code.
However, you can click the file in whatsapp and share it with your app and in that case you can use this article to include your app in that list.