I know about sound fonts but this requires me to make a wave file for each midi piano roll key. Is there a way or program to just have one audio wav file and have the midi piano roll key that is pressed automatically adjust to the frequency of the midi piano roll key being pressed? Or is there another way I should be doing this.
Ps: I'm using Linux 64bit Ubuntu.
You need a digital sampler. Most DAWs come with their own, dedicated software sampler but a great 3rd-party sampler is CWITEC's TX16Wx sampler since it's modeled after real hardware technology. Also, defined instruments in soundfonts can be configured to span the whole keyboard spectrum so double check and make sure they aren't limited to one key like you mentioned.
