On Apple devices you must ensure your ringer is not muted or else the coached audio, coached music and nature sounds will not play. You can use Control Center (swiping up from bottom of screen) to toggle this.
On many devices there is a physical "side switch" you can use instead.
Note that on some newer iOS 11 devices, you need to set "Change with Buttons" on in the Settings > Sounds menu. You may need to reboot your device for this change to come into effect, before coached and nature audio on BitGym tours will work.