Which insect that makes annoying strange sound at underground?

That's a mol Cricket.

mol Crickets can be found during the winter and spring, making a low, repetitive noise underground, from which they can be identified. Players will have to dig in the area in which the noise is loudest. Having been uncovered, the uncommon mol cricket will scuttle away. It may jump into water to escape the player, of if left too long it will burrow back into the ground. They are sold for 200 bells.