In James Baldwin's "Sonny's Blues," I don't know if we can be certain of what the "void" is, but we can speculate, as we might with any kind of art: narratives, poems, music, paintings, etc. My impression of this phrase is the Sonny's brother, as he is listening to his brother play, realizes that there is something the his brother hears that most do not.
The speaker says…
All I know about music is that not many people ever really hear it. And even then, on the rare occasions when something opens within, and the music enters, what we mainly hear, or hear corroborated, are personal, private, vanishing evocations.
With this statement, the narrator puts most in the category of people who hear music and just don't "get" it, or get close, but experience it only as it pertains to them personally. Sonny is different. Hearing music transports him; it changes his world, which other than music, is pretty unimpressive. He doesn't hear what everyone else hears. When he listens, he's...
...dealing with the roar rising from the void and imposing order on it as it hits the air.
When the music hits Sonny in it's pure and muddled—Sonny works with it, though the speaker says that it isn't easy for him, but it is good for him, and for us.
What is evoked in him, then, is of another order, more terrible because it has no words, and triumphant, too, for that same reason. And his triumph, when he triumphs, is ours.
The void could refer to a place deep within that may speak of a darkness in the soul—what exists within a person when no one else is around. Or it could speak to the chaos that rests within a person that can be controlled only by music: as if the "music soothes the savage beast." For as the void, the chaos, the darkness hits the air, the music takes the madness and forces it to take shape and make sense, which is what happens when Sonny plays his music.
It is one of the few things Sonny can "control" in his life, and one of the few things that brings him real pleasure and a sense of accomplishment.