When exiting a nether portal after being teleported, the sound travel.ogg does not play. This was recently fixed on PC (see MC-233, note only the bit relating to this sound not playing was fixed) and as such should be fixed for pocket edition as well.
It appears that this request was misunderstood; the sound effect that should play when the player is standing inside the portal block (trigger.ogg) now plays when the nether is loading. The sound that should play when the nether is loading (travel.ogg) does not appear to exist in-game yet.
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Confirmed on Prestigio Multipad 4 Diamond 7.85 3G. Android 4.2.2 Version: 0.14.0 Beta 3

Still seems to be affecting 0.14.0

Affects 0.14.1

Affects 0.14.2

Seems to be affecting 0.15.0

Affects 0.15.2

Please reply and update affected versions if you're still able to reproduce this issue.

Still bugged in 0.15.9

Affects 0.16.0

Affects 0.16.1
Can someone confirm that the special travel sound plays in Creative mode as well on PC?
Update:
-Affects 1.0 Beta Build 2.
@Connor Steppie or @Ariel Díaz
does this bug still affect 1.0.0.0 (beta build 3)

Affects 1.0

Affects 1.0.1

Affects 1.0.2
I can confirm that this sound is missing from the game. However, as it is not in the game files, it might be considered a feature request.

In which case, the very least they could do would be to revert it back to what it was when the nether was first added to MCPE.
Affects 0.13.1