You can turn it on/off. You cannot change the sound it makes without hacking the firmware or replacing the file jog.wav (Assuming you know how to putty into the Pronto).

Dev Guide.

A.1.1.8. activity.rotarySound
(available since application version 7.2.4)
Purpose
Controls the rotary click sound.
Read/Write : RW
Value : Boolean
When set to true (the default), turning the rotary wheel on the control panel will cause click
sounds to be played, if the rotary is enabled (Because of an action list assigned to the rotary in the
configuration file, or when an onRotary callback is set for the activity). When set to false, no
sound will be played.

CF.activity().rotarySound=(boolean);