I've even heard that the sound of Sweep was made by using the old paper & comb technique. I don't think this is true.
The kazoo was suggested but this was not the same sound as I mentioned.
I think the squeaker gadget that Ethel mentioned might be the answer but fitted inside the Sweep puppet as pointed out by Zacsmaster.
Now I wonder how they made the sound of Sooty :)
Apparently, dogs howl at the telly when Sooty speaks.