I doubt this (Furbys are kiddy toys, after all); but this article proves that audio is indeed a viable data communication channel for bypassing air-gaps.
If anything, data over audio would be easier in an anechoic chamber since you don't have to worry about reverb or background noise.
US Military guidelines do require acoustic isolation of all SCIFs (Secure Compartmentalized Information Facilities). You just need isolation, though; deadening the rooms is not really necessary.