It's not illegal (In the US. The UK and much of Europe is more sensible). Just about the only sound that can't be used is the US is the EBS Tone. Sirens, screeching tires, gunshots... anything you hear on broadcast TV, can also legally be used on the radio.

Per the FCC: "licensees should be aware of possible adverse consequences of the use of sirens and other alarming sound effects."

Which pretty much means "We DGAF. It's up to a judge to decide if you're liable if there's a problem."