Sound does not travel through a vacuum at all, so stars and galaxies do not make sounds in the ordinary way, outside of stars' own atmospheres.
What the astronomers record are audio analogues of the radio waves from the objects.
That said, I think the scientists are beginning to understand at least some of them. The signals all result from fluctuating or oscillating nuclear and magnetic processes within stars and galaxies, but the puzzle is determining exactly what and how.
Some are relatively simple to explain, such as a regular "flashing" effect due to a star spinning rapidly on an axis at some steep angle relatively to ours. There, the electromagnetic radiation is fairly steady but partially focussed by the star's own magnetic field so behaves rather like the beam from a lighthouse, as the peaks and troughs of amplitude spin "past" us.
Others though must be generated by pulsing within the star, of some sort that may well yet be puzzling. In any case stars come in sorts of flavours and ages so between them exhibit all sorts of electromagnetic behaviour, from radio via heat and light to gamma radiation.
Lots of massive, beautiful physics in action at huge scale, and meanwhile we can enjoy the aural effects created by converting the radio waves received by the radio-telescopes, to sound, by methods not unlike those of an ordinary terrestrial radio broadcast.
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"ordinary ... broadcast", he writes with (co-incidentally), a live concert performance of the fugue from Widor's magnificent organ concerto, emanating from the radio in the background....
