Actually, if you listen closely to the "warning" music, it's a mix of at least 2 if not 3-4 Christmas tunes. I know I identified both Jingle Bells and Santa Claus Is Coming to Town. I don't remember for sure (watched at home last night, can't watch it at work right now) but I think I might've heard Frosty the Snowman as well.
i guess the humor in that is that a) it's a communist country using the tunes from a Christian holiday as warning tune, and b) they don't understand the music well enough that they're mixing bits of them together in one tune.