This could really be used for tense or frightening sound effects for a horror movie.

Does anyone have a clue why the hell these things sound this way? It sounds like mom is murdering her two kids while cooking Sunday breakfast! And it only seems to happen when they shaken in the pan.

After doing a little research, one explanation gives this as the reason for the screaming.

They don't scream.
They are whistling a happy tune.

Yes, they are whistling.
As the water in the meat heats up and turns into steam, it expands.
For a while, the skin of the sausage holds in the steam, but then the skin breaks open at a weak spot and the steam escapes out .... like a balloon you let fly across the room ... like a whistling tea kettle .. like blowing across the mouth of an empty bottle ...
and just like when YOU whistle (air moving rapidly through a small opening).

The sausages are whistling. Only because the moisture in them is being turned into steam by the heat.

Thanks, anonymous internet user.