The only way to do that would be to download the whatsapp file (from Whatsapp, unfortunately) and since that is saved to your device and then part of your Media gallery, you can pick a music player that supports local files, or if you add those files to your Google Play Music account, you can then download them to your watch for offline use. But this wouldn't be 'straight from Whatsapp', it's basically just playing a media file on your phone.