Mike66 said: "The written play states specifically that Aunt Maggie Far Away hears Banshees in the final scene."
It says we do too! The stage directions say, "Outside, the Banshees scream. It rises." I don't remember hearing offstage screams, but as others have said, there's a heck of a lot going on in that last minute.
I'm intrigued by your idea that Oisin set the goose free deliberately, that it wasn't an accident. That adds a layer to the Act I ending.