Is there a word or phrase for when the movie tricks you for a moment like this?

Not sure if there is a term of art in Cinematography to refer to the suspense aspect, but the editing technique is a film transition called an L-Cut.

An L Cut is an editing technique that results in a cut occurring at a different time for audio than for video. For example, we may hear characters' voices a few seconds before we see them on film. In order to achieve this effect, the editor had to make an L-shaped cut on the filmstrip itself. Even today with the advent of computerized non-linear editing systems, the digital representation of the film in the program still takes on this L-shaped appearance

The L shape being that audio on a film-stripe leads the video by a few millimeters for syncing purposes. The digital editing version still looks like an L for separate reasons.

Some people differentiate between which comes first as an L-Cut and an J-Cut, i.e. Audio from Scene B on Video A vs Audio from Scene A on Video B, or in other terms, early audio vs late audio transition.

These cuts are used all the time in same scene dialog, when switching or not switching between the cameras facing the different actors, but is often used for transitioning between different scenes as well.

The stark jump between scenes would be considered a Contrast Cut, like jumping from an action scene to a dialog.

Star Wars does this all the time, but with a wipe or iris fade for the video. The most common one is when you start hearing a Tie Fighter before the wipe starts/completes.

Here's a good video analysis of the various wipes and cuts in Star Wars.

As noted in the other good answer, a screenwriter would term this same trick a Pre/Post lap (as in overlap). But after searching, there doesn't seem to be any specific term for this trick in suspense. It's a general technique used for all genres or for multiple reasons. It's not used solely for scaring the audience.

The screenwriting term for what you describe is a "prelap".

Prelap — Wikipedia

Prelap is a screenwriting term that means the dialogue from the next scene precedes the cut, and the beginning of the dialogue is heard in the outgoing scene

Prelaps can be of sound or dialogue, or anything non-visual, since a visual would indicate a direct cut to a new scene.

From TV Tropes

A pre-lap is a scene transition where the sound from the scene transitions before the visuals do, so the sound of the second scene momentarily coincides with the visuals from the first scene.

Because the viewer will naturally try to connect what they are seeing with what they are hearing, it is often used to portray a logical connection between the two scenes.

This is also sometimes employed in comics by including speech from one scene as narration boxes over the preceding scene.

The reverse of this is the post-lap.

Example: Primer has a scene in which an ice machine is activated on a refrigerator, and a noise is heard. Said noise turns out to be construction equipment from the next scene, where the protagonists are trying to build a device in the garage.