beep issues a request to the underlying operating system to emit an audio beep. On certain platforms such as Windows, the "default sound" is played.
Rather than attempting to interface with specific platforms, it is simpler to play a corresponding sound file prior to displaying the dialog:
AudioInputStream ais =
AudioSystem.getAudioInputStream(getClass().getResource("/information.wav"));
Clip clip = AudioSystem.getClip();
clip.open(ais);
clip.start();
JOptionPane.showMessageDialog(...);
clip.close();