Do electronics use more power when the speaker volume is turned up?

Yes, they do.

The sonic power of an amplifier is usually measured in watts, and wattage is the product of volts x amperes.
Amp’s are the measure of how much current is being used by the sound system.

The more volume, the more wattage being used.

Yes.

Sound is energy, which has to come from somewhere.

Negligibly more, but yes.

Studies have been done on this that show their power consumption is not significantly more. It will also vary on the components you are utilizing. A PC driving a speaker or a cell phone driving a bluetooth will not use more power due to volume setting. An old tube powered Hi-Fi actually is more performant for the amp when turned up. My Marshal amps and my guitars have negligible difference based on volume even when my amps are turned to 11.

Speakers work through vibrating membranes. The louder, the more intense the vibration, the more energy is consumed.

Speakers are driven by current. In older tube amplifiers the high voltage amplified signal was passed through an output transformer that dropped the voltage down and stepped up the current to drive the speaker voice coil. Higher current induces a stronger magnetic field that displaces the cone more. That high current ultimately comes from the power supply. When you turn the volume down you limit the signal being amplified so there is less current being generated at the output.

Yes. Especially bass.