The OP should do something in the way of ISOLATION of the reported problem or all answers are mere conjecture.
**Substitute another set of headphones of any kind, even cheap earbuds, just to see if the problem persists.**
**Try the several CW modes available to you, such as Full Breakin, Semi QSK, and manual to see if the problem persists in all.**
**Try it with the rig connected only to a Dummy Load with short jumper. Vary the power level from low to high to see if that affects the reported problem as well.**
**Try it into the antenna again at varying RF power levels, see if it only happens when sending full power but perhaps does not happen at say the 5 or 10 W level, indicating an "RF in the shack" situation.
Excellent suggestions. Thanks. I purchased another set of headphones so in addition to the CM-500's I now have Kenwood HS-5's. Regardless I needed an another set. But in regard to all of your suggestions I still have the thumping in both headphones. Now I have not added torroids and will do that next. Thanks again.