This. There are internal mechanical forces created in the windings in any transformer. The magnetic fields produced by other windings exerts a force on each wire according to the formula iLxB. There are also forces generated in the core due to interaction of the eddy currents with the magnetic fields, and between the core and the windings.
This is all due to basic physics of transformers. There are internal forces generated that alternate at the line frequency: 60 Hz or 50 Hz, and this can generate audible noise. The windings of the transformers are generally potted in enamel to minimize the motion of the windings, but the whole winding can vibrate a bit on the core, generating noise. Cheap transformers will tend to buzz more due to looser mechanical construction.
This effect does not require a DC current, although a DC current in the windings will make the forces worse. Your transformer just loosened up after being plugged in a while and undergoing a few thermal cycles, and started buzzing.
I can suggest a number of fixes, like taking the transformer out and dunking it in potting compound, but it's really not worth it. Get another CD player. One with an external power supply would be best, for two reasons: you can replace it if it makes noise; and those small supplies are usually switching power supplies that operate at frequencies above human hearing, so only the bats will be annoyed by any buzzing that may be produced.