My problem is this:

I use game_save/game_load to change from a level to another and to return back.
Some entities in these levels starts its sound at the beginning of its action function with ent_playloop that happen only at the beginning of the game, everything its fine, the sound moves with its entity, the doppler effect is fantastic, until the game is saved to swicth current level and return back loading the game, any ent_playloop is working, no entity is playing its environmental sound.

¿ Wich is the right way to make a moving model like a car, or a train, to produce its own sound that survive the game_save/game_load process ?

Anyone can help me ?

I can't be sure without seeing the script but with the ent_playloop an entity would be required to play the sound. When you load a game, you kill the entity which likely also kills the sound loop. If you followed the load command with the appropriate ent_playloop command after the load and a wait(1) command. An entity must exist one frame before the command can be used. This would be true of the ent_playsound as well.