Will the On30 sound module work in one of the Bradford Exchange 2-6-0 Christmas Trains?
Sadly no, the Hawthorne Village/Bradford Exchange trains are based on the older 2-6-0s that did not have digital control nor sound options.
It is possible to upgrade them, but a drop-in sound module won't be compatible; You'll need to install a speaker and wire it to a compatible digital decoder yourself:
I used this guide to add DCC to my older 2-6-0, but not sound. http://www.pacificcoastairlinerr.com/mogul_dcc/