A feature that could be interesting in my point of view is the possibility to associate an audio file with an image...

For example, it could be to describe the picture and the situation...

Do you know if this feature already exists or if this is possible to work on it?

For normal images you would have to write a plugin. You could also use videothumbs with the flash players then the image will be shown while the audio is played: http://www.zenphoto.org/2009/03/troubleshooting-zenphoto/#19

You could use the custom data field to associate an audio file with an image or you could use some naming convention. Then where you want the audio to play you would have to launch the appropriate player. All this could be place in a custom version of your theme.