MIDI, thats sketchy. Altough you have something hat plays MIDI inside the Saturn, there are no "instruments" to talk for(you need to upload those instruments, very specific samples, in a sound bank). There is also a FM chip (it would play midi like those old 8-bit soundcards) that I belive is undocummented.
(Does Elan Dureé uses it in the "Original" config, ie. not playing the "Enhanced" CD tracks?)
WAV sound... You mean PCM audio, it is possible with the SGL, altough I haven't tried it yet, Charles Doty uses it in the Sporting Clays homebrewn game.
There are no known libraries for it, but lots of japanese games also used a Quicktime-based sound format.