No. You need to select music or videos you wish to share from within the Lumia Play to app..
- Are there limitations for Hey Cortana on my Lumia?
- What to check if I can't sign in or create the Microsoft account on my Lumia phone during the initial setup?
- How can I train Hey Cortana on my Lumia phone?
- How does Hey Cortana work when Battery Saver mode is on?
- Will I get “Hey Cortana” voice activation after Lumia Denim update?