Among the 40 published and unpublished settings in Mail there are none to change the Swoosh sound on sending or to add a sound when there is no mail. However if you want to change these badly enough, and you are willing to risk having to reinstall Mail or MacOS to restore functionality if something goes wrong there is a way to modify the Mail app to change the swoosh sound. WARNING only try this on a a copy of the Mail app in case you inadvertently break something!
  1. Control+Click on Mail and select “Show package contents” from the context menu
  2. Navigate to Contents > Resources
  3. Replace MailSent.aif, MailFetch.aif, and mailfetcherror.air with aif sound files of your choice
  4. If everything works to your satisfaction replace Mail.app with your modified copy of Mail.
NOTICE because this modifies the Mail app itself you will have to repeat this procedure every time Mail is updated so you may want to create an Automator app to make the changes every time there is an update.

If we knew what it was we were doing, it wouldn't be called research, would it?

— Albert Einstein