As you realise, that does sound normal and it is not a common issue. If you could have somebody with experience to hear it, they will tell you what is going. At least this is the theory.
What I have noticed in mine is that if you play with the steering wheel adjustments, something is going wrong and the horn is not operating. You have readjust the steering wheel to make it work. It is like some cable is on the way. So if the same happens with your car and the previous owner managed to cut through these cables or something more in there, maybe this is what is causing the noise. I assume that you mean that the noise comes from behind the plastic cover with the Mazda logo in the centre of the steering wheel.
Try to readjust the steering wheel and check for noises. For the first generation cars, there are videos online that they were lubricating the steering column but this is further down. Your car may also had soe butchering work to remove any airbag ligh. Something like that will not show up on a scan but if you remove the steering wheel and investigate, you will be able to eliminate options. Maybe it is something simple like a broken mechanism for the indicators.