Fuses that are sand-filled are HRC (High Rupture Capacity) types, and BS1362 mains fuses come under this heading.
The sand's purpose is to allow expansion room for the arc that is created when the fuse blows and thus let it dissipate safely. In addition, the sand melts under these high temperatures and extinguishes the arc before it can do damage. If you put a glass fuse in place and blew it under the same conditions, there's every chance it would shatter.
As to sound, it is my opinion that no fuse makes any difference to the sound of anything when used on a power rail or the mains supply. The only place a fuse might have a sonic effect is if used directly in line to protect speaker outputs. In this situation, when you start banging out dub reggae at high volumes, the fuse's resistance will change due to the heating effect of the higher currents going through it. Whether you'd notice the difference as your ears are assaulted by King Tubby at 110dB is another matter...
Engineers: fixing problems you didn't know you had in ways you don't understand.