mneary, what about air itself? It's not a particularly linear media for sound. Not sure if it introduces enough non-linearity to produce modulation effects, then again I've never heard of anyone trying to modulate 10-20hz frequencies at large power levels.
Air isn't perfectly linear, but at reasonable sound pressure levels it's linear enough. Your ears will be distorting (and hurting) much more than the air.
Some speaker designs have distortion issues related to air compression, but they don't apply to this discussion.