I can't use Kega Fusion (I'm on a PPC Mac), but I assume what's happening is that the code for FM synth playback on Wonder Boy in Monster Land is being triggered. In the prefs for Kega Fusion, there should be some option to turn off FM synthesis or FM autodetection; once that's done, it'll go back to the usual SMS sounds.
BTW the FM synthesis module was only avaiable in Japan, but bizarrely, there are tons of US-only games that are capable of using it. There's a whole bunch of stuff about this over at SMSPower, including some new hardware to add FM synthesis to the US SMS. Ironically, you're being bothered by a feature that people have gone to great lengths to implement!
That's good to know actually, my main issue with this effect on Wonderboy is that the sound seems somewhat muted in comparison to the 8-bit, which used to be a problem when I was stuck with cheap headphones (now I have nice speakers). But there's still a lot of SMS games I haven't played yet, and I could see a lack of this synthesis hurting the experience of the games (like going from FDS to NES.)