Currently (April 2018) the Telegram Desktop Client only seems to use the default sound device. Perhaps a bug.
Anyway, I had no default device but Telegram picked the wrong one nevertheless, and I could not change that in pavucontrol, nor could I set a default device there (the relevant button seems to be stuck on Set as fallback no option for default).
What worked for me:
find the device to make the default (you can use other filters in the second grep of course):
pactl list | grep alsa_output | grep -i head
use your own device with the following command:
echo "set-default-sink alsa_output.Headset" | pacmd
end with:
pulseaudio --kill ; pulseaudio --start
Most of it from this page.
Edit: the above is not permanent. How to do that is perhaps somewhere in the following text:
