Had some more replies from
mx5mods.com and they are saying it's most likely a loose heatshield :
The noise will be from a loose heatshield! Almost every '5 has had this problem if its over a few years old.
and
I would tend to agree with Glynn on this one... It's most liekly to be a heatshield and I reckon it is probably the one that goes above the small centre expansion box. Two large jubilee clips and a bit of scrawming under the car should fix it. Mine's done the same, mostly around the 2000-2500 rpm mark.
Fingers crossed!!
Will have a look at the weekend.