Sound waves unlike the electro-magnetic waves (sun-light)  require a medium for their propagation. There is no air on the Moon. 

“Hence, an Astronaut cannot hear the voice of other one while on the Moon.”

In space suits, communication systems involving a transmitter and receiver is placed. This system works on radio waves which are essentially EMW (Electromagnetic Waves) which can travel through vacuum. 

Hence, using this system, sound signals can be transmitted as radio waves which can be directed as desired.