Is the SQL Server Audit feature supported in the Amazon…

A, No

http://www.aiotestking.com/amazon/is-the-sql-server-audit-feature-supported-in-the-amazon-rds-sql-server-engine/

Amazon RDS currently does not support the following SQL Server features:

Maintenance Plans
Database Mail
Distributed Queries (i.e., Linked Servers)
Database Log Shipping
Change Data Capture (CDC) – Consider using Change Tracking as an alternative to CDC.
Replication
The ability to run Reporting, Analysis, Integration, or Master Data Services on the same server as the DB instance. If you need to do this, we recommend that you either install SQL Server on an EC2 instance or use an on-premise SQL Server instance to act as the Reporting, Analysis, Integration, or Master Data Services server.
Performance Data Collector
Service Broker or additional T-SQL endpoints (all operations using CREATE ENDPOINT are unavailable)
Distribution Transaction Coordinator (MSDTC)
WCF Data Services
FILESTREAM support
Policy-Based Management
SQL Server Audit
BULK INSERT and OPENROWSET(BULK…) features
Data Quality Services
Instant file initialization
Always On (2012 Enterprise Edition)
File tables
Server level triggers

http://docs.aws.amazon.com/AmazonRDS/latest/UserGuide/CHAP_SQLServer.html