I know where they can be found: the large .zfs file in the main install directory.
Dragon Unpacker can open these files. In it, you'll find a lot of .wav files. The tool allows you to extract those .wav's.
Question is, how to play them. They are not supported by any of the players I use. Audacity also didn't work. The files are not recognized as .wav files. They are also very small: max. 200 kb.
Is there any way to open them? Can GOG or Zack Norman help out? Or someone who knows a lot about the MechWarrior 2 engine?

Gog.com hasn't done absolutely anything so far about all the problems we've been having with their release so far. So I wouldn't expect them to help out on this one either.

I tried it again with my original 2CD release. Extracted a .wav file straight from the .ZFS file on CD1. That worked! I've just extracted a poem and I can play it.
It's just weird that the .wav files from the GOG release are somehow corrupted when opened/extracted.

I found out why extracted .wav files from other Interstate '76 .ZFS archives are corrupt. It turns out it's because they are still in a compressed state when extracted. Only the .ZFS archive on CD1 of the original release was uncompressed, leading to normal .wav files when extracted.
So, that's how I found out why Dragon unPACKer and Game Extractor cannot handle compressed .ZFS archives properly. The can only extract the files, without decompression.
After a lot of searching, I finally found a tool that can both extract and uncompress the .wav files in the compressed .ZFS archives. It's called UNZFS and it was written for Battlezone, a game from Activision released in 1998. That game also uses compressed .ZFS archives. I found a great tutorial about how to use it. I can now listen to all the dialogues.
Get UNZFS here.
Read Tutorial here.
Enjoy.

There is a new program that allows you to unpack and pack compressed zfs files.
google
MakeZFS/MakeZIX

its on battlezone forums somewhere