Weird engine sound when engine is off

[dastro]

I have a 2005 CLK500 and today when driving I heard what sounded like a muffled siren-like sound coming from the engine. The sound is high pitched and the tone's rises and falls like a police siren. It's not overly loud. When I pulled over I thought it may have been a large cricket stuck in the engine compartment, because when I turned the engine off it didn't stop. When I closed the hood it stopped.

A couple hours later with the car parked, it started again then stopped after about a minute.

This is crazy, does anybody know what it is?

Thanks