The X3 1st gen can support the formats below:
APE (Fast):192K/24B (Max); APE (Normal):96K/24B(Max); APE (High):96K/24B(Max);
WMA 9.1 LOSSLESS：96K/24B(Max);
If the formats of the music files which you downloaded from audible.com are included in those, the X3 1st gen can playback them.
I don't think it will then, their wiki page says "Aubile Audiobooks are distributed by Audible with the file extensions .aa and .aax. They contain data encoded with either the MP3 or ACELP codecs"
Audibles own webpage http://audible.custhelp.com/app/answers/detail/a_id/5128/~/what-is-an-audible-format,-and-how-do-i-choose-the-one-that-best-suits-me%3F seems to indicate format 4 should play in selective MP3 players but if the file extension isn't recognised it is a non starter I would imagine?. As it is a paid for service reluctant to set it up and pay, to find it doesn't work on my Fiio.
Yes, the X3 doesn't support .aa and .aax. But maybe you can find a software to transfer the music files to the formats the X3 supports.