It sounds like feedback. Instead of the rock band at the local watering hole with the volume up too far… “How’re Y’all Doin’eeeeeEEEEEEEEE!”, You have digital feedback. It’s not just white noise. There’s some spikes and servings of other tones things in there, too.
I’m not a Windows elf, but I think you need to go into Windows Control Panels and set recording and playback to be real physical devices, not Stereo Mix or What-U-Hear. Stereo Mix is the setting you use to record internet shows, but it gets in the way when you’re trying to record real life.
Then go into Audacity > Edit > Preferences > Devices and make sure your UX2 is listed there for Recording. PlayBack, too, if you’re not planning on using the computer speakers or headphones.