does the nose make a squeek noise when punched?

Yes, the nose does squeak. It is an independent chamber from the rest of the toy such that when the Bozo is fully and firmly inflated, the nose remains semi-inflated with the squeak toy inside. I guess this makes it easier to squeak when bopped, which it does do well. He's a pretty sturdy fellow for my monster squad is this Bozo.

does it come with sand in the bottom?

Just got mine ..no sand ..no squeaky nose ...water goes in the bottom ...no instructions on how to do that

Looking for a doll like this for anger management in adult group therapy. Do you think it will hold up?

I gave these to my grand-children and they are holding up fine. I had one when I was a kid and these are the same quality as then and they held up fine. I would recommend for adult therapy too.