Native peoples living in regions where aurora are common, often seem to claim that they hear rustling or crackling sounds. When scientists bring recording and sound amplification equipment there, they hear absolutely nothing. Aurora never get closer to the Earth than 50 miles or so, and there is no known physical mechanism that could transmit weak sound waves to the ground from this altitude. So, the answer is that it may be a psychological effect. We know of many of these where the brain expects a response, and if none is provided, it manufactures one. Aurora are breathtaking. All humans expect that such a 'fiery' display should be accompanied by sound, and for some people, the brain goes along with the expectation. Still, we really do not know what is going on here.