There is a filter that will allow you to use an alternative audio player, but it is not an option in the plugin settings because no other audio players are packaged with the plugin. In fact, no audio players are packaged with the plugin at all – the audio player in use is the one that is a part of WordPress itself.
You will find a snippet that you can use to get an alternative audio player near the end of this support thread: https://wordpress.org/support/topic/direct-link-to-onedrive?replies=11, but you will need to add the alternative player yourself as a plugin (or however your chosen player works).
That being said, if all you want to do is make your player look a bit different then I would highly recommend using CSS to style the existing audio player and make it look different. Loading a new player will be a heavy process for your site and will slow down your page load speed, which is never ideal.
Cheers,
Hugh
