I think his window is not up all the way, he's hearing air escape around the window - when he turns up the fan, the velocity thru the window changes, and is different from whatever velocity that makes a sound he's detecting. There is a procedure in the service manual to set the 'stop point' of the window going up, others have reported irritating sounds at certain speeds/fan settings that were resoved by taking a CLOSE look at how far up the window is going. It was more easily detected from outside the car, it was more obvious from outside that the window was not up all the way.

But we are all guessing. Because "high pitched sound" is subjective.