I have a Sunbeam home espresso machine with a steam wand. The steam roars out straight from the end of the wand. When it's first placed in the cold milk it really screams! Once the milk has a bit of a whirlpool action going it's much quieter, so I guess that the noise is because of fast-moving steam hitting stationary cold milk. Something something fluid dynamics?
There is a lot of protein in milk, so when it is heated with steam, the water evoporates and protein start to foam around the steam wand. Due to tiny holes on the steam wand, the velocity of the jet will be high(high velocity) and the moment it reaches out of the wand, it heats the milk producing protein foam making it thick blocking the orifice creating a whistling noise. If you notice the steam wand, however smooth surface it has got, you can see a layer of milk protein stuck to it. This thick layer of milk moves/provides steam to expand away if you give the cup a worlpool action.
To understand this, just leave some steam without placing cup. It makes a noise. Steam tries to expand the moment it comes in contact with cold air absorbing water content from surrounding.