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If their shout could possibly be termed "screaming", it would be The Scream. The article even references having a shot of Earth from space with the scream still going, implying that it's audible up to that level.
If aliens in space are disturbed and react to it in a "Whoa, what is that noise?" kind of way, it may count as a Distant Reaction Shot.
There's Space Is Noisy for sound being audible in space, in general.
I've seen this one in certain cartoons:
Is there an Artistic License trope for that?