So, a quick update a month later ... I went to the dealer and we took the car for a spin. Unfortunately the guy wasn't able to hear the sound and honestly I wasn't quite sure I was hearing it so I nothing really happened.
However around the Christmas days I got to travel a bit more and I discovered the following - it is not the crosswind which is causing the sizzling sound but it is the sidewind. It was quite windy one of the days and on the highway the sound was matching the side gusts. The stronger the wind the clearer the sound was.
So after that I did some looking around and I found that the plastic outside of the side mirror had a gap between the chrome strip. I haven't had the chance to take it to the dealer but I'm pretty sure that this will turn out to be the issue. Also before that I'll cover it with something and do another test.
I have attached a picture for a reference. If anyone can check and confirm he does not have this gap, will be great 🙂
http://i65.tinypic.com/2efn58m.png