The most convenient way how to convert mp3 audio to Unreal UAX format would be to use dedicated audio software like Awave Studio, which should allow converting of .mp3 audio files to Unreal audio data files (.uax), essentially mp3 to uax conversion. Pretty much that very same can be apparently achieved with the UnrealEd level editing tool for Unreal series, Unreal Tournament.
Open MP3 file Open UAX file