As others have said, it's probably the GPU power supply circuits making the sound; if the pattern of power consumption has frequencies in the audible range, it can cause components like inductors and capacitors to mechanically vibrate at those frequencies and emit sound. The reason you don't hear it in games is either due to the game audio being much louder or the power pattern not having those audible frequencies.

CPU power circuitry can do the same, but given this is using the GPU, it's a safe assumption that it's the latter.