In theory, should you ever have an accident with a pedestrian, or maybe even another car in a parking lot, you'd be opening yourself up to a big lawsuit as you would have defeated a now required safety component of the vehicle. I doubt it's on the states' inspection list, but it likely will be eventually, and if you have safety inspections, your vehicle could fail. My new hybrid X5 45e is supposed to have the acoustic warning, but so far, I've not noticed it. I've not driven with the windows opened, so haven't really checked to see if it does, or what it actually sounds like. So far, I've only had my ICE turn on once, and that was a test to verify that it did...so, it's being used essentially as an EV for most of my driving.
Someone previously was looking at how to do that, but I don't remember if they succeeded...you might try searching. Note, BMW says that driving with the windows opened above 25-mph means you'll use more energy due to drag than you would by relying on the HVAC system...