At Duckon 2007, Steve Ward of University of Illinois at Urbana-Champaign programmed a Tesla coil to "sing":
This is a solid-state Tesla coil. The primary runs at its resonant frequency in the 41 KHz range, and is modulated from the control unit in order to generate the tones you hear.
So just to explain a little further, yes, it is the actual high voltage sparks that are making the noise. Every cycle of the music is a burst of sparks at 41 KHz, triggered by digital circuitry at the end of a "long" piece of fiber optics.
Wait till 1:04 mark, you should hear something very familiar (Mario!): http://www.hauntedfrog.com/gt/movies/2007/duckon/SingingTeslaShow.html (Embedded YouTube video) - Thanks soops!