I doubt you have bad wheel bearings. You're right that it should rather give a moaning or rumbling sound.
Though it's hard to diagnose noises on this forum, check all the suspension components. Some noises that sound as though they're transmitted through the body could be from loose components other than suspension components on the car.
Not all bad bearings have play in them. At the early stages of spalling bearings can still maintain original clearances. Only advances stages of failure cause loose bearings.
95 E320 Cabriolet, 131K