is there any auditory warning device indicating direction of travel of
emergency vehicles now in operation? If so, what are the regulations?

Your ears can somtimes give you a warning because of the doppler
effect - coming toward or away.

Are you thinks gps or something bound into the stoplight signal system?

I think I saw on TV that English Ambulances have started to use white
noise with their sirens. Apparently this white noise is easier for
your ears to direct the noise, so you can tell where they are coming
from, its a bit like the chhhhh noise that an untuned TV makes I
think.