Is this a new behavior?
With a capacitor coupled tube preamp, the output capacitor will develop a fairly large DC voltage across the cap. When the preamp is turned off, the voltage on the input of the cap goes to zero, but the DC voltage across the cap doesn't just disappear immediately. The larger the cap value, the more energy will be stored and the longer it will take to dissipate. If the power supply voltage drops faster that the coupling caps can drain, this will result in a DC offset for a short time which will cause a pop or thump if you still have the amp powered up.