What iPhone / iOS level are you using?
Here is what worked in a test on an iPhone 6S / SE pair running iOS 9.3.1:
"Hey Siri: Play last Voicemail message". You should hear Siri via the bottom speaker announce the details of the message and then the message will begin to play.
Note: the actual volume of the Voicemail may be what is causing your problem.
Here is the latest Apple Siri dedicated Siri information:
http://www.apple.com/ios/siri/
Dave