Don't know if this helps or not, but I was at a ski trip this weekend at SnowShow WV... got cold last night. about 6 above. We couldn't even stand it in the hot tub! Anyway, the truck hadn't been started since Friday, so it was definately cold. Glow plugs took forever, but when I hit the key, it cranked over and gave me a real quick buzz to whistle almost like the turbo fart... Oddly enough, I could easier explain the sound as a GM diesel train locomotive starting up. Anyway, it did the typical rattle bang rough idle for a moment or two then about a minute later it goes into it's high idle routine. She belched out black smoke for about 2 minutes before settling down.
I guess the most logical thing I could come up with is the engine program is giving a do or die approach to cold starting, hit it with everything you got for a few revolutions, then take a more normal approach. It sounded to me like the turbo wasn't turning (duh, it's off) and it got hit with a boat load of exhaust gas moving at high speed, so it came up to speed very abruptly, hence the strange sound...