Howling may sound melancholy or whine-like, but it is actually a dog's instinctual form of communication. Dogs are social animals and howling at sirens, singing with harmonicas or mimicking speech are all normal behaviours.
Certain sounds will trigger howling. Although dogs have been bred and domesticated, their ancestry predicts certain behaviour. Wolves used howling as a basic form of communication and the harmonica triggers a response.
Howling is Singing for Dogs
Dogs will mimic and imitate sounds they are hearing, so it is not uncommon for a dog to "sing along" with the harmonica. A dog will run and hide if it doesn't like what it's hearing, so if a dog is howling at a harmonica, it is enjoying the music.
Dogs are social creatures and may howl if they are bored or wanting interaction and attention. Howling at the harmonica is the dog's way of enjoying some human company.