Can an audio file be played over several files

I wish to play music while moving from one slide to another

Go to the Slide Transition dialog: main menu Slide → Slide Transition or invoke it directly in the sidebar. In this dialog, you can choose an audio file by selecting Modify Transition → Sound → Other Sound…
Then, press the button Apply Transition to All Slides. After that, the selected audio file will be played at each slide change.