It is common for the valve to make that sound until the bag has enough pressure in it to push the valve closed. This should only occur when blowing up the bag and deflating it, but not when playing. Since this is what you described, it is unlikely that the valve is malfunctioning. What you experienced is normal. There are a couple of things you can do to prevent this noise from occurring when you blow up the bag.
1.) Do not put any pressure on the bag with your arm when you are starting to blow it up. If you put pressure on the bag while you are blowing it up it can force air back through the valve and cause that noise. Hold the bag in your arms, but do not squeeze it until you are ready to play. It is an acquired skill, and you have to go by feel.
2.) Do not remove your mouth from the blowpipe in between breaths while blowing up the bag. Keep your lips on the blowpipe, so air will only escape back into your mouth. Breath in through your nose.
3.) If you have trouble with #2 you can place the tip of your tongue over the blowpipe in between breaths.You don't have to stick your tongue out, just keep the blowpipe on your lips and place the tip of your over the hole after you exhale. Keep your tongue on the hole while you breath in through your nose. When you have enough air to exhale, remove your tongue and blow.