Musical sirens use a sound-making system related to that of an old-fashioned warning siren. The musical siren is less efficient acoustically, and thus much quieter, but it can produce a musical scale.
A rotating disk is perforated with many holes arranged in concentric rings, with different numbers of holes in each ring. The nozzle of a blow-tube is held as close as possible without touching, directed toward one of the rings. Each time a hole passes under the nozzle a puff of air passes through. You get different puffing frequencies, and thus different notes, by directing the nozzle toward different rings with their different numbers of holes rotating past per second.
In the audio sample, the siren is accompanied by the twist-string harp and a rumba box (bass kalimba).