Our 2002 s40 with 150K miles makes a high pitch whistle/whine noise. When I presses the accelerator, in neutral, and the RPMs reaches 2500, the idle surges, then it stalls. It starts right back, but it still whines.
I've tried removing the dipstick and oil cap. That didn't help so I don't believe it is the oil trap.

Is it the turbo going bad?

 

can you hear where the whistling is coming from? I'd start by tracking along the air tube from the turbo to the intercooler to the intake looking for a possible boost leak.

 

The clogged PCV system whistle is for the newer 2004.5 and up 2.4L and 2.5L engines, not the 2000-2004 1.9L turbo engines. For the 2002 I'd do what mt6127 said and check your intake tract from MAF to the throttle body. With a MAF equipped car all the air is accounted for as it comes out of the air cleaner box. If you have a leak then it really messes up the computer. One known fail area is the S shaped hose between the intercooler and the throttle body. You can see it here where it starts in the red box. It gets brittle and cracks in two eventually.

 

That hose next to the square is a big culprit as noted. It leads to the idle air control valve (which also benefits from cleaning).