According to Wikipedia, coil whine is a audible sound directly produced by materials vibrating under the excitation of electromagnetic forces.

Inductors :
In inductors, also called reactors or chokes, magnetic energy is stored in the airgap of the magnetic circuit, where large Maxwell forces apply. Resulting noise and vibrations depend on airgap material and magnetic circuit geometry.

Transformers :
In transformers magnetic noise and vibrations are generated by several phenomena depending on the load case which include Lorentz force on the windings, Maxwell forces in the joints of the laminations, and magnetostriction inside the laminated core.

Capacitors :
Capacitors are also subject to large electrostatic forces. When the capacitor voltage/current waveform is not constant and contains time harmonics, some harmonic electric forces appear and acoustic noise can be generated. Ferroelectric capacitors also exhibit a piezoelectric effect that can be source of audible noise. This phenomenon is known as the "singing capacitor" effect.

Source from Wikipedia

DISCLAMER : MAKE AT YOUR OWN RISK

1/ Use lower framerate
2/ Try differents game settings
3/ Try differents clock speed, voltages, bios settings
4/ Unplug external hardware like audio
5/ Clean hardware
6/ Keep components more cold
7/ Use a noise cancelling headphone
8/ Update hardware drivers
9/ Put your pc in another room
10/ In bios turn 'acoustic noise mitigation'
11/ buy another psu brand or stronger
12/ try another power source, unplug others apparels

By luck or not i never encounter any coil whine problem on my hardware, simply because i always check the users comments before buying to know the problems and never buy a new product who have less than months of usage.

Coil whine is a reflection of stressed heavy loading hardware or insuffisant quality component so be cool with it, lower your fps and never buy cheap nobrand hardware who have poor electric filters and you will be fine.

Instead of returning your gpu for this problem i recommend first to change your psu for a more stronger or another quality brand specially if it is old, then you will save money and difficults returns.

I recommand to never buy less than 1000 W quality psu to have enough margin to avoid coil whine.