Lol, I genuinely didn't know this was possible, I'm sure I tested this a while back, maybe as far back as MPC 1.x, and it didn't work. I even recently submitted a feature request for this without actually double checking to see if they had enabled it.
I just tested with mid, sqx and mpcpattern files and it works just the same as XPM files. Probably works with any file that the browser can load. Have currently only checked in the MPC Software, assume it works equally well in standalone.
To the OP, to add a preview you need to create a folder called [Previews] with the square brackets, and place this within the same location as the pattern files. Inside the previews folder, add an audio preview with the same name as the pattern, remember to put the original extension on the end, e.g.
My_MIDI_pattern.mpcpattern.WAV
Should work with any normally supported audio format, I either use WAV or mp3 for previews depending on the sizes.