Wow, so many problems in one response. You don't know what the current draw is "if the pic doesn't give signal"? Well, what if the pic DOES give signal????
Is this really a "siren" or is it a transformer driving a loudspeaker? Transformers don't work with DC, you know. Are you pulsing the transistor to generate the "siren"?
"It's not the siren...". Really? Because it sure SOUNDS like the siren is a problem, especially since you have no idea how much current it draws.
Maybe you have some wiring error because, as said before, the DCDC converter should only draw about 2mA with no load, not 35mA.