The tube is hollow, and inside there is a sort of gasket the fits neatly in the width of the tube. The center of that gasket has a kind of valve that flexes when air moves through it to produce a sound. When you flip the stick over, the weight of the internal mechanism pulls it down, forcing the air in the tube through the valve, producing a noise. When you flip it over again, the air is now flowing through the valve in the opposite direction, producing a different kind of noise.
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