This unit is designed to emulate the sound of a string of firecrackers exploding with a series of high voltage capacitive discharges across spark gaps. (about 5kV at very high current)
It backs that up with a repetitive squealing firework sound played through what is effectively a high decibel alarm siren speaker.

This came from AliExpress, but it's hard to find the real thing. Many are just a simple sound effect unit.
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https://www.youtube.com/watch?v=dQHE5BH5Yns