In Mic's responce to your post he mentioned his family's banshee
legend. While I have nothing like that in my family's folklore(that I know
of), I do know of a possible incident:
As we all know, the legendary movie star John Wayne was in reality an
irishman named Marion Morrison. It was widely reported that at the exact
moment of his death, an air raid siren was reportedly sounded in New York
City for approximately an hour.
Could it be that what they heard was in reality a misreported Banshee's
Just a thought.