Why do motors buzz when are applied PWM?
When you drive a motor with a PWM signal, you are basically just turning it off and on very rapidly. If the motor is moving while this is happening, it's inertia (along with the winding inductance) smooth out the PWM signal such that the speed of the motor is proportional to the average time the motor is on.

If you use a very low duty cycle, it means that the motor is turned on for only a very small amount of time each cycle. If the average power supplied to the motor is too small to overcome the friction and any load on the motor shaft, the motor will stall. In the case of PWM it will be turned on, stall, then be turned off, over and over again, which essentially makes it vibrate at the PWM frequency. If this frequency is nicely within the audible range for humans (anywhere from ~20Hz to ~20kHz), you will hear this vibration as a buzzing sound.

The rotor vibrates in the magnetic field which is being turned on and off. You turn it on, it tries to rotate but can only move a small way before you turn the field off again, and which point it will stop moving again. It vibrates back and fourth. This may move any air around it, but also moves the whole motor - Newton's law: every action has an equal and opposite reaction! As the whole motor vibrates, the air around the motor will vibrate with it, making sound!

Try putting the motor on a hollow box, this will amplify the vibrations of the stator and the sound will get louder. Conversely, press it on to something like a piece of rubber and that will damp the vibrations - it gets quieter.