They could absolutely tell that the received data contains information.
However, they will not necessarily decode that information as sound. There is nothing in a radio or TV broadcast that would tell them what medium the data should be converted to after it is demodulated and decoded.
Let's stick with basic analog radio transmissions to keep this simple. There are two fundamental types of modulation that you're probably familiar with: AM and FM. Which mean Amplitude Modulation and Frequency Modulation, respectively. Both use the concept of a carrier wave and then modulate that wave to send out a signal over radio frequency.
The above plots are the signal amplitude with respect to time. The "modulating wave" in this case might be that sound wave plot you're hoping the aliens are going to discover. The carrier wave is modified by the modulating wave in two ways shown, by changing its frequency or changing its amplitude. The frequency of carrier wave, by the way, is what you are tuning your car radio to when you want to listen to the radio. If you tune to 91.5 FM (my local NPR), the carrier wave frequency is 91.5 megahertz, or going up and down 91.5 million times a second.
Amplitude modulation simply changes how strongly that carrier comes in to your radio while frequency modulation changes the frequency up and down (usually by a maximum of 25 kHz in either direction).
Your radio demodulates the received signal by removing the carrier wave, which leaves the original modulating wave for you to listen to. The electronics for these simple modulation techniques are not all that complex. We won't get into digital radio or television, but they're rather different.
Now, your aliens have received this signal. They will likely be able to determine that it's being modulated, because it won't be like any radio signals that come from natural objects. Amplitude modulation is probably easier to figure out, but plotting the change in frequency with respect to time is also a simple thing to do.
But where do they go from there? They're left with a plot of a waveform that changes with respect to time, but no information as to how that signal should be used. For all they know it could be a control signal for a device that spins back and forth or it could be a touch signal sped up 20,000 times to compress the information. The might interpret it as the combination of sine waves at different frequencies that relay information based on the frequencies and their respective amplitudes (via an alien version of a Fourier transform).
They might make the logical leap that it's a signal meant to vibrate a diaphragm in an atmosphere, but as they have no concept of sound, that's unlikely. In either case they will may eventually be able to decipher that it is language and would be able to respond in kind. But if we ever met them in person, they would not be able to understand our speech unless we transmitted it to them via radio.