Yes you can easily change this!

Switch the indicator to the right for 2 flashes, then switch to the left for 2 flashes.

Then keep switching like this between right and left. You'll hear all the different sounds.

When you hear the sound you want you can just stop switching and the selected sound will be set.

This Youtube video shows how to easily change the sound. It's in German but it can help to visualise how to proceed. 

The volume of the blinker sound cannot be adjusted.