When I try to increase the volume in the settings (initially the volume is zero), after exiting the settings it will automatically reset to zero. I play without sound. The game is downloaded with Steam, OS Debian Stretch.

When you turn up the sound, can you hear the music before you exit the settings? (make sure music and sounds are turned up at least.)

Hmm, I had a similar issue try setting your settings to a base setting. Might not help as my issue was the resetting of visible effects, not sound settings, but it's worth a shot.

Are you pressing escape after you turn the sound up to exit the options menu or are are you clicking the 'Ok' button?