Try increasing the Project Rate (sample rate) in the lower left of the Audacity window. As you may know, the “Nyquist limit” is half the sample rate (at least one sample for the top-half of the wave and one for the bottom-half).
…If you are going to play the file out of your soundcard, some soundcards are limited to (about) the audio range and some soundcards run at a fixed internal sample rate (44.1 and 48kHz are rumored to be common) and in that case your signal could be down-sampled by the drivers.