As @ricpol suggests, this is a Windows thing. Specifically, it rings the bell when a widget that has the focus, but is not able to handle keyboard events, gets a keyboard event. Or something like that.
For an application hotkey you probably should be using a wx.AcceleratorTable. This works just like accelerators associated with a menu item (like Ctrl-O to open a file). In fact, when an accelerator key is pressed that is in the AcceleratorTable then you will get an EVT_MENU event just like you would have it is was a real menu item.