After viewing some of the youtube videos posted out there it seems they kind of honk or bray like a donkey. I was hoping for a quack. I suppose you could call it a squawk but as soon as I read a comment that it's like a donkey I couldn't really disassociate the sounds.
Nothing! Squawk nothing! Penguins only make noise when they sing in penguin "school". Maybe penguins do make noise and I am sure it is a squawk.