yeehaa is an alternate spelling of yeehaw, a general shout of excitement, which would clearly be coming from the aliens. “yeeeee” isn’t really a word and it’s ambiguous what it might mean. It might be the people yelling in fear, it might be the aliens (but it’s not clear why they’d be saying that), it might be the sound of the ship flying in the air.

Ambiguity like that kills the joke because you don’t want to make people think too hard about it. It’s aliens going for a joyride and shouting yeehaw like cowboys, and “yeee” doesn’t really convey that. Hopefully that long-winded explanation helps