I was exploring the file system and stumbled on this way to set a custom sound for a Gnome-Clocks Alarm.
Basically what you need to do is put a oga/ogg file in ~/.local/sounds/freedesktop/stereo/ and NAME IT alarm-clock-elapsed.oga
But if you want to change more than just the alarm you can just copy /usr/share/sounds/* to /.local/share/sounds and you can change a bunch of other sound files as well. If you do it this way though, I recommend renaming the originals with parentheses(or with _ ) so if you want to change back you stiil can.
And hopefully 
@guido.gunther will get this into phosh-mobile-settings like he did with calls and texts.
This is the terminal shortcut to move all the sounds to .local If you only want the one sound file, just use line 4.
cp - r /usr/share/sounds/freedesktop/* ~/.local/share/sounds
cd ~/.local/share/sounds/freedesktop/stereo
mv alarm-clock-elapsed.oga _alarm-clock-elapsed.oga_
mv ~/YOUR/PATH/TO/SOUND ~/.local/share/sounds/freedesktop/stereo/alarm-clock-elapsed.oga
Thats it. You should be good to go😀