if you download an mp3, you can play it. (I think somewhere along the lines, folks thought you had to rename it to .caf, which I think is not the case anymore).
As for merging mp3s, you would need a pure python library to do this, not sure what is out there. But, if you handle things like a playlist player where you loop over tracks, you wouldn't have to merge at all.
I don't think there is a good method (or any method) to fast forward, at least not directly in pythonista.
However, in theory you should be able to use a HTML5/javascript solution inside a ui.WebView. One solution would be to simply create an html page that plays your javascript, then use load_url with the os.path.abspath(yourfilename). Another would be to run a local webserver running something like this, and then connect to localhost. That player seems to have fastforward, etc -- I'm sure a simple web search can turn up all sorts of javsacript based sound players that do what you want. See jplayer for example.