I researched it online and it may be because the sirens mimic a dog’s howling noise. That makes sense; it does somewhat sound like a howl.
So that makes sense, but why do they howl?
Apparently wolves and dogs howl in order to communicate (long-distance) with their fellow canines. They might also do it when they’re lonely. That’s kind of cute. Now we can feel a little less annoyed since they are probably howling at the sirens because they think it’s another dog, not because they just want to annoy us by mimicking the siren or anything like that.