There are two sources of sound that I can think of. The first is a whining sound as the flash powers up before you trigger it. This is a chopper circuit - the voltage from the batteries is about 6 V DC (direct current), but the flash bulb needs much higher voltages to light.
It is very hard to increase DC voltage, but fairly trivial to increase voltage in an AC circuit through a transformer. In a flash a chopper circuit chops up the DC voltage by quickly turning it off and on. This creates AC voltage and current, and that can be fed into a transformer to increase the AC voltage. This secondary AC voltage is then turned back into DC voltage, which can be used to charge a capacitor that is used to store the electrical energy until; it is used by the flash bulb.
To the best of my knowledge it is the chopper circuit that can be heard. It's probably the transformer that gets wiggled (physically), generating the sound. The whine is normal and nothing to worry about
The second source of sound is the discharge of the capacitor when the flash is triggered - there is a fair amount of charge in the capacitor; probably enough to change its shape when it suddenly is released. That causes a slap sound when you actually trigger the flash