Don't know but might be some issues there.
Moon, no atmosphere so no sound ( well not in the usual auditory sense, vibrations through ground might be there. )
Mars. The atmosphere is less than 1% (AFAIK) as thick as earth normal so limited transmission medium to carry it. Still our best bet I'd say.
Those are the only two we've landed anything n recently so the rest is conjecture.
I'd imagine they have movement\vibration sensors to detect quake activity so some possibilities there maybe.
I was thinking mainly of the martian atmosphere but also the moons of Jupiter and Saturn whose atmospheres are dense and able to carry sound waves better.
