I assume it has a speaker? Clock Radio? It usually is down to one of the junctions between two points somewhere in there is behaving like a diode. Like the old "crystal" in an old cat's whisker as they were called way back when people used and made their own crystal sets and hung the headphones in a fruit bowl to "amplify" the sound so the whole family could listen to the latest offering from Carmen Miranda!
It isn't helped by poor design in most things now, lack of screening/shielding etc. PC speakers are notorious for receiving Short Wave stations.
Or is it just "hiss" ? noise produced by poorly designed audio stages are common. That is annoying if it is the case. Get a different clock is the easy answer of course.