Your output load is 500KΩ, so the maximum output current is 0.5mA !!!!!!! It is cool
Output impedance of the audio amplifier is 4-8Ω, this is the problem You should get a transformer with maximum 8Ω input impedance. It is too hard to get such one. If you are connecting output of your transformer to output of the amplifier it will work some extent (Transformer output impedance is 40Ω)
For low output current (.5mA) you can try this. Don’t worry it do not fry your signal generator
Try with zero signal voltage and slowly increase the signal voltage , check any output clipping.
Alternate option is class B push pull amplifier with transformer.
Hope it is helpful to you