I'm pretty certain UT2004 on linux only plays .ogg files. (This is probably due to crazy licensing things involving mp3).
As for the playlist in UT2004, the problem adding files is that you can't navigate your file system. This has to do with sandbox security. No matter though, you can simply make a playlist by editing the UTPlaylists.ini file. (It should be ~/.ut2004/System/UTPlaylists.ini). You can edit it yourself or just use this Perl script
If you're going to edit it, just add a block like this:
(Note that a playlist title can't have any spaces in it)
Also you don't need to copy over your ogg files from another directory. You're using Linux remember? All you need are symlinks. What I do is I create a directory of links to ogg files to use as a playlist, and then I create a playlist from the directory. So I have a directory of symlinks for each playlist. Remeber, to create a symlink use
ln -sn /path/to/a/file linktofile
(use "man ln" for more info).