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I just noticed that when Selene fell from a ledge she made a sylph-noise. I had all my other sounds down so it made it more obvious. The lore tells us that they are summoned from some other plane, but maybe that location has something to do with sylphs and faeries having similar origins.
Just speculation but thought I'd share.
I'm more inclined to believe they were just reusing the same sound resource rather than spending extra work recording sound effects for a fairy that barely anyone would notice anyway.
Thats the obvious answer, but we really haven't been given much insight into faeries. They aren't created on the spot out of aether like carbuncles and egis are.
There were hints that they are more sentient than carbuncles/egis, form very deep bonds and retain memories of those bonds, and they are called from a realm where they live and likely have a culture of their own. They were summoned by Nymian people, but I dont think they told us that Nym - an extinct civilization - is where they come from.
In mythology Fairies almost always live in the woods. Woods in Eorzea are already magical, they are governed by elementals with Ramuh in tow. So its not too far fetched to think that Faeries can be in the woods too, just in an area that we cant reach.