I did a lot of research on that very subject and couldn't find any actual .xa files; they may still be in some games, I just haven't run into any. The closest thing to xa audio I've seen on the saturn is adx compressed audio which is similar in nature. There's a post in the developer's section that deals with a similar subject (cak files which contain adx audio).
If you're looking for files to download try searching for one of these two programs that let you preview/extract adx file types: cinepack.exe (Japanese) or adxplay.exe (English). As far as games go: Burning Rangers, Dragon Force 2, and I'm sure many others too.
That brings up another question I've had for quite some time. Does anyone know of a working saturn spu (sound chip) emulator...?
From my experience, I've not seen any .XA files on Saturn games, however, I have seen .DA files IIRC, and they correspond to the CDDA tracks in certain games. Their filesizes are really big and if you try to extract them from an ISO or the game CD itself, you'll run into read errors because they're sort of like dummy files pointing to the CDDA tracks.
This makes me wonder what type of data are inside the MODE2/2352 tracks on games that have dual data tracks.