Powering a 4-Pin stock CPU heatsink fan with an external power supply
Can you measure the voltage on the 12V line and see if your PSU is dropping to a low voltage and then resetting and trying again.  This may be due to too much or too little load.

Certain types of switched mode power supplies need a load on their main output(s) to operate correctly, perhaps yours does and placing a more significant load will cause it to generate a stable voltage.  

The PWM wire might prefer 5V rather than 12V though if you measure it you may find that it is indeed pulled up already to 5V or 12V with circuitry in the fan.

You could test the fan on a working PC set-up carefully using a old style diskdrive power connection, just stuff the ground and 12V wire ends into the correct holes (black and yellow) and hold them in place with your fingers or tape when you turn the PC on.