To trigger both a siren and smoke grenade, you could use 2 relays both triggered by the detonation trigger connection. The trigger would just go to two relays instead of one.
Yes, I think that siren will work. You need a 12V source for it, and the relay would complete the 12V circuit for the siren. The second relay would complete a 9V connection to a smoke grenade.
You can connect an external button using the pads next to the button. This video shows an external switch connected: https://www.youtube.com/watch?v=kLG3BWkn8TM&t=3s
Yes, the code could be modified to detect when the wires are connected to ground instead of disconnected. If you are experienced with programming, I can give some details, but if not, then I’d recommend the Custom Programming item in our store, and I’d code/test that for you after getting your exact requirements. You would need a USB to serial adapter to use the Arduino IDE to upload the new code. Experience with that?