While I’d say that a new car shouldn’t drink oil, it’s hard to say if it wasn’t broken in properly yet. It is up to you to check the oil and fluids, no matter how new the car, and no matter how surprising it is to find one empty. I would never go 2500 miles in any car without at least checking the oil. Check it at least every couple of fill ups, especially if the car has a history of oil use or if its oil usage is unknown.
As far as the rest—a new car should not be making weird noises unless it’s a known issue and expected to go away after break in. It sounds like they’ve been feeding you a line of BS from the beginning because they have no idea what’s wrong and don’t want to take the time and expense to find it. I would possibly suspect a power steering problem somewhere.
I doubt the car is unsafe to drive, but that doesn’t mean it won’t break down and leave you stuck somewhere. Depends on your definition of unsafe I guess. It doesn’t sound like this dealer is capable of finding the problem. Is there another Audi dealer in the area that you could switch to? I have no idea if you can recover your money from your state’s lemon law. If it doesn’t look like you can, and you will never enjoy or trust this vehicle, I’d advise you to take the goodwill gesture and immediately sell it, and take whatever financial lumps you incur.
It’s just not worth the aggravation to stretch this out over months or years and suffer over something as trivial as a car. Karma will catch up to them.