Thanks to advice from Archer72 on our Matrix channel.

You need to tell where the voices are kept.

echo 'This sentence is spoken first. This sentence is synthesized while the first sentence is spoken.' |    exec /opt/bin/piper/piper     --model /opt/bin/piper/piper-voices/en/en_GB/southern_english_female/low/en_GB-southern_english_female-low.onnx     --output voice.wav