I think we already have an air-raid siren so search for that.
To make a loop, you need to make the track a Ogg file. There is a catch you can't just convert it and pop it in there, you do need to make the track mono not stereo. This can all be done Audicity.
Make sure not to mess up the name either. I've done stupid small mistakes like that.
Wrong : Loop 2
Right : Loop_2