In what PDF reader(s) you tried on your iPhone?
I don't know if there is any PDF reader able to support such feature on iOS, but you should try first with the Adobe PDF reader.
Check also if embedding the mp3 using the legacy format (PDFrizator menu Edit>Preferences|General, "Embed MP3s in legacy format" option) changes anything. This option is cumbersome in Acrobat/Reader for Windows, because of hysteric security measures, but may help on these systems.