We report first principles calculations of the structural parameters and phonon dispersion of the tetragonal non-centrosymmetric heavy fermion compound CeAuAl$_3$. Taking into account weak magnetoelastic interactions of the rare-earth (RE) ions with the spectrum of phonons, we obtain an analytical expression for the hybridization of quadrupole excitations and phonons from the poles of the one-phonon Green-function. In the paramagnetic phase, we predict the formation of mixed modes that may be observed by inelastic neutron scattering. Our results show that magnetoelastic interactions, albeit being moderate, play an important role in CeAuAl$_3$. This suggests that magnetoelastic interactions may be equally important in a wide range of related compounds.