I just found this. I gotta try this myself. My theory of what this does is the following: The cupper and aluminum works as a battery, much like the lemon battery taught in physics class. However because of the Al2O3 surface on the aluminum, which is released in an opscillating manner, you get spikes of voltage. This is what creates the sound. Compare it to the bubbles you get when you put a piece of a base metal in acid. That is my theory, feel free to comment it, or prove it right or wrong.
Found by Veqtor.