That is so funny. My sister has one too. It can sound like her cat, dog, ambulance, door bell etc... But the funniest thing I heard it say was when her boyfriend was leaving the house- my sister said to him, " see you later," and just when he was stepping thru the door, the African Gray parrot said, " And don't come back".
Now we cracked up laughing because she apparently has said this under her breath when he leaves sometimes, but he wasn't too happy about it.
So beware, you never know what sound they will make!