Then your devices are not grounded equally/properly, allowing unwanted current to flow. Assuming your speakers are being driven via an analogue link from the audio interface, your options would be to opto-isolate your audio feed from the rest of the system (use an optical cable from the audio interface and an additional DAC which is then connected to your speakers) or, more practically, perhaps try a ground-loop isolator and see if that makes a difference.
You could also try acquiring a different thunderbolt-to-hdmi adapter. Do you have a way of connecting that display without thunderbolt? (i.e. using a different port?)