You've added a sound to the Alarms folder of your Android (using a file manager such as X-plore), but you can't get to it in the "Your Sounds" section of the Clock's alarm selection.

Go to Home > Apps Menu > Settings > Apps > Clock > Permissions and enable access to Storage. It probably caught me off-guard the first time I started the clock app and I clicked deny. I can't be the only person to make this mistake.