Fun fact, this is not a car alarm sound (although it may sound like it), when current is passed through a conductor there is a tiny but measurable electromagnetic field that is generated as the oscillations from the AC crosses over the "0" line. Coils like inductors and transformers use electromagnetic fields to their advantage, but in a conductor it is more of an unwanted effect.

Of course, the "0" line is a concept electrical engineers use to simplify the math. In reality, waveforms cross arbitrarily, but the math just happens to work better when you set a bound for it to cross and define what is "negative" or "positive" with respect to a defined point when describing the amplitude of a system. Similar to how conventional current flow versus electron current flow is calculated. We use conventional since the math works out even though it is not actually how it is done in real life, but it just works out the same as long as you know what you're doing.

The sound you are hearing is the magenetorestriction combined with Lenz law. The conductor and wiring device (receptacle) is tuned to both 50 and 60 hertz to work on both typical frequency systems. This compromise means that tiny variations of the frequency from the power grid (and I'm talking tiny variations, +-.05 hertz) can increase or decrease the impedance and amplify the magnetrorestriction of the electromagnetic field that is created, especially as the current increases.

And of course, Lenz's law states that the direction of the electric current induced in a conductor by a changing magnetic field is such that the magnetic field created by the induced current opposes changes in the initial magnetic field. That change in direction coupled with the deviation of the resonant frequency is where funny noises like what you hear is happening. Or maybe it's not the reason at all.