Not an expert, but I would assume it’s because moaning (edit. And also breathing deeply) causes vibration (and tension when breathing) inside the chest/throat that it stimulates the vagus nerve.
Stimulting vagus nerve causes relaxation of the body thru diff. effects (slower/regulated heart rate, relaxed lungs, releases tension in neck, etc).
Stimulating vagus nerve is what people with panic attack/anxiety do to get out of their panic attack. Yogi (the yoga instructors) practice multiple vagal exercise that mostly involves breathing exercise, and humming.
But like I said, I’m not an expert so feel free to negate or support this claim.
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