It is certainly import (embed) subtitles (for example SubRip SRT) to multimedia files, even including some of the audio files, typically for reasons of showing lyrics during playback. However, not every multimedia format supports direct embedding of subtitles and these are typically kept in separate files.
Convert SubRip video subtitle format to Windows Media Audio.
We have found one software suitable in our database for this conversion.
Microsoft Windows software - convert srt to wma on Windows
Suite of tools for video editing
Convert from srt file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.