The coo is very common, especially on the 1.9tdi when a straight through is put on, it's just the air from the wastegate using the exhaust like a trumpet. I assume it only happens if you lift off before the turbo is about to start to 'pull' ?
There's quite a few leons and golfs around here, all have straight through exhausts, and when they change before the turbo is about to come on they all coo. I wouldn't worry about the coo, but the siren noise can be an issue caused by what the guys have mentioned above.
Although not always, sometimes its just a sign that a turbo wasn't run in properly.