Helium is lighter than air (you get the opposite effect with denser substances). Because of that sound travels faster through it, and it's to do with that.
I think it goes...
The same pitched sound in helium has a longer wavelength than the wavelength in air. A sound with the same wavelength has a higher frequency (or pitch).
This is because speed=wavelength*frequency.
When the waves are being formed they are formed at a given wavelength, which (as above) corresponds to a higher frequency.
At the helium/air boundaries the frequencies stay the same (because the point on the boundary has to be in both camps) and the wavelength changes (and it remains the higher frequency).