To built that very first sound appearing at 0:03 after the pig, I started with a standard SAW wave, with no modulation, and no frequency filter (THRU). The note starts somewhere around F# and slides quikly down to A, than quickly up to B and then ends again close to A.
To get that, I shaped the envelope EG3 like below, assigning it to Pitch with level close to 40 (I picked 38).
Make sure the envelope is such that when you play the A key, it slides down to B and just slides to A after you release it. Of course you also have to set the AMP envelope (that is, EG2) with a small release time, so that you can hear your final A note. Since the attack is quite loud, I shaped the envelope like this:
It is now starting to sound like what we want. Also, notice that the beginning of the sound is quite strident, not at all clean. To get that, I put the second oscillator as SAW to modulate the first with RING. Since I want this modulation to happen only at the first attack, I also attributed the EG3 to OSC2 Level. To make it even dirtier, I attributed the same EG3 to Noise Level.
Almost there. Now we add a delay. I chose a Modulation delay, with 1 second delay time. Make it in such a way you can hear your note four times before it fades completely. My settings were
I also added some reverb, just to make it look nicer.
And that's it. To play it, you should also use the Pitch Wheel to make the note go a little below B after the slide down, like this:
In case you have done the same sound using different parameters and you think you got a better one, please let me know in the comments!