It’s pretty simple to put together. No Arduino involved. The sound comes from an Adafruit Sound FX board. They aren’t the cheapest option, but really easy to work with. I've saved a sound clip of electric shock to the board's memory as T01HOLDL.wav. This way it will play the sound whenever pin #1 is connected to ground. WAV files require less decoding so play faster. Pin #1 is hooked to the output from a capacitive touch sensor. The sensor is set to give a ground signal when you touch it, 5v when you don’t touch it. For this particular sensor, you need to add a glob of solder to connect the "A" pads. I then scratched off some of the plastic covering the sensor and soldered a long wire to the sensor. That’s then connected to the outlet (which is of course NOT connected to household power or anything else.) 5V DC power from a wall wart transformer (or even 3 AA batteries) run to the power pins for both the sound board and touch sensor.
I highly recommend the Adafruit tutorial on their SoundFX boards. There are cheaper options for audio (DFPlayer mini is one of my favorites) but Adafruit is a great place to start. Adafruit also sells a great Capacitive Touch sensor board, but this one is cheaper and has the option to output ground signal with touch.