Never heard an amp do this before, ideas?

Do not EVER turn on a tube amp without a load. Misery is guaranteed.

Depends on the amp.

A stable amp can be on but not driven without a load. 

An unstable amp may be a problem with or without a load.

the sound comes through the headphones.

Is the sound present on all inputs?

Does the level change with the volume control?

I too was stumped when there was noise in my tube preamp and in my tube phono. Turns out to be the Wi-Fi modem and (especially) repeater boxes were too close to my equipment. I could hear the noise abate as I moved them 12 -15 ft away. It falls off rapidly in an electromagnetic inverse squared fashion ....but if even turning off your internet equipment doesn't have an effect, it could be your neighbor's.

@ieales 

yes, all volumes levels and on all channels. Covering the unit with a faraday blanket does attenuate the sound.

Alright, the faraday blanket lends support to the "external radiation"/Wi-Fi theory. 

As a (possibly amusing/enlightening) side story, I had tried substituting other equipment as part of my logical deduction, detective methodology and found that a solid-state version didn't suffer the same noise (both pre and phono) and so, the units were obviously the problem (I thought/but really, just better shielded). My technician was not able to duplicate my problem but charged me anyway.  When I finally figured out what the problem was, I shared that with my technician, hoping and even suggesting that maybe he shouldn't have charged me. His wise response: "Turner, it's always what you don't know that costs you."

Think "out of the box/system" if all else fails.