It may not be the kind of "RPG" you're talking about but there was a boxed set for D&D published back in the mid-90s that came with a really lengthy audio CD containing 2 adventures. The CD served as narration, character voices, sound effects and mood-setting and, while incredibly corny in some ways, it was a real treat to play through.
They made some other ones like this too, but not sure how many. Link below is to one of the ravenloft adventures that takes place in a haunted house. The tracks, as I recall, were the same sort of narration for each room as well as some sound effects and such. It was pretty cool at the time. I wonder if it holds up?
And here's a geeklist that includes some others: