You can convert MIDI audio to any of the classic or even some rare audio formats (like old Creative Labs .sbk banks), if you find a program with support this function and the output format.
A .midi file on its own does not contain any audio data, just instructions for instruments that can be generated from an external sound source like synthesizer or sampler.
Good choice when dealing with rare audio formats is Awave Studio, because this program supports a huge number of even some long forgotten audio formats.