Ultrasonic wave propagation in a graphene sheet, which is embedded in an elastic medium, is studied using nonlocal elasticity theory incorporating small-scale effects. The graphene sheet is modeled as an one-atom thick isotropic plate and the elastic medium/substrate is modeled as distributed springs. For this model, the nonlocal governing differential equations of motion are derived from the minimization of the total potential energy of the entire system. After that, an ultrasonic type of wave propagation model is also derived. The explicit expressions for the cut-off frequencies are also obtained as functions of the nonlocal scaling parameter and the y-directional wavenumber. Local elasticity shows that the wave will propagate even at higher frequencies. But nonlocal elasticity predicts that the waves can propagate only up to certain frequencies (called escape frequencies), after which the wave velocity becomes zero. The results also show that the escape frequencies are purely a function of the nonlocal scaling parameter. The effect of the elastic medium is captured in the wave dispersion analysis and this analysis is explained with respect to both local and nonlocal elasticity. The simulations show that the elastic medium affects only the flexural wave mode in the graphene sheet. The presence of the elastic matrix increases the band gap of the flexural mode. The present results can provide useful guidance for the design of next-generation nanodevices in which graphene-based composites act as a major element.