What is this device I found in my HVAC duct?
It’s some form of the DSC surface siren.  It may have a built in siren driver or it may be “speaker only”.  They are typically used with home alarm systems. 

These have been private labeled over time by various national alarm companies.

They are not rated for use in a return air duct, nor allowed by any code.  Unfortunately there are many in ducts just like yours is.