That is the (ultra annoying) sound that a Doppler ball makes, or in this case, a stuffed animal with a buzzer embedded that emits a constant high frequency pitch. However, when the ball is thrown to you, you hear a higher pitch because the sound waves are compressed, while when you throw the ball away from you, you will hear a lower pitch, as the sound waves will be more spread out.
See the picture below and/or this page from the Physics Classroom if interested in a little more about the Doppler Effect.
