Why does puppy cry when we play music ?

My border collie puppy, almost 4 months old, barks and whines when we play music, he's ok hearing music that's recorded, but he cries when we play the piano, harmonica, guitar, or even if we whistle. At first I thought the loud noises hurt his ears, but even if we play very quietly he'll still cry. And if we leave him outside he'll run to the door to be let in, so he doesn't avoid the noises either. I also thought he might be "singing" but it seriously sounds so bad, like if I didn't see him I'd think he got seriously injured. I've also tried getting him used to the sound of an electronic keyboard, and he doesn't mind the music it autoplays but as soon as I start playing it he starts crying, even though it makes the same sounds. Maybe we need to train him to stop but I'm concerned maybe it's hurting him, does anyone know what might be going on? Thank you