If you've invested in a projector, I would expect you to have an AVR as well. Don't connect the Roku directly to the projector, but instead plug it into the AVR. On my two main TVs, everything runs through my AVRs, and only the AVR connects directly to the TVs.
Depending on the source you are streaming, the audio is most likely Dolby Digital+. Your projector might not be able to handle DD+ and therefore pass no sound at all.
Dan
Roku Stick (3600), Ultra (4640), Ultra (4670), Ultra (4800), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.