The sound waves above ground propagate faster thane the shockwaves underground, so an observer outdoors or indoors near an open window will often hear an oncoming roar a few seconds before they feel the shaking.
Had that happen to me once in Anaheim Hills. The rushing sound was echoing all across the Santa Ana Canyon, then the place got a good rattle as the shockwave passed, then the sound died away as the wavefront continued on.
I never thought about why I hear earthquakes, just knew I did. But what you wrote makes sense. Both times I was near a window. It is a bit of a warning, but not much.