I disagree. Rockbox can actually do this, in a sense. When you install the voice file and enable voiced menus, Rockbox plays a clip from that file that says "Shutting Down" in a cool/weird computery voice.
It's a hack, and a bad one at that, but if you can build your own "voice" file to be silent except for that one phrase and inserted your shutdown sound in its place, you could.
I don't know how it would be done, though. It is, sadly, still way over my head. But it is at least theoretically possible.