Sadly there is no sound that plays on every note you miss, but if you mean the combobreak sound(that plays when you miss a note after a 20 or more combo) then all you have to do is this:
- open the skin folder you want to modify. If you have the skin selected in game, you can simply click "open current skin folder" in the osu settings in the skin section.
- find the "combobreak.wav" file in the skin folder and remove it.
- get an audio clip, or another combobreak.wav from another skin, and put it in the skin folder. Make sure the filename is exactly "combobreak" and is a wav or mp3 file. If both of those things are correct, you can use any audio file you like.
- go back in to osu! and press ctrl+shift+alt+s to reload your skin.
Hopefully this helps