Hilarious, I've done this! Not sure if they connect the voices to the person, but eventually results in a destroyed paper roll.... and then the voices stop!!
Thats funny! Salty, our little yellow shoulder amazon, will prank us almost the same way.
He does a trick where he walks through a 3ft long section of PVC piping. But some times he just puts his head in the tube and will say PeekABoo, or laugh, as we stare down from the other end of the pipe.