Sonos is streaming Amazon music and other services directly from the cloud, it is not played through your phone or any other device. So no, you can’t played previously downloaded tracks, not via the Amazon service setup in Sonos anyway.
Sonos can play music stored from a local library, but these would be tracks you own, not tracks authorized to play in Amazon music apps only due to DRM restrictions. If you have an android device you can play audio files stored on this device, but again DRM likely will restrict this.
If you have an iOS device, you could probably use airplay to play your downloaded Amazon tracks to Sonos. Alternatively, if you have a Roam, you can connect your device with the Amazon app via bluetooth to the Roam, which can then group with your other Sonos speakers.