CE-680 Captain reported a pop and vacuum sounds consistent with a loss of pressurization while climbing through FL330. Crew made an immediate descent and upon landing found that the right Pitot Tube had separated from its casing.

Narrative

Climbing through approximately FL330 for FL430; loud pop was heard followed by loud vacuum sound and indications of a loss of pressurization. Crew stopped climb; and erroneous indications were observed such as cabin altitude CAS light on and off along with erratic cabin climbing indications. Physical sensations were experienced by the crew to varying levels; and pilot flying (PF) had disengaged the Autopilot in the process to stop the climb. Mask were donned and crew comms established. PF began Emergency descent prior to pilot monitoring (PM) being able to request priority handling with ATC. Priority handling was requested and ATC issued a descent to 10;000 feet. Pax oxygen was manually deployed once established in the emergency descent. TCAS was displayed at all times; no traffic conflicts noted. After assessment of aircraft ability at 10;000 feet level off; a decision was made in the interest of safety; weather; and population density to return to ZZZ. Landed at ZZZ with no further issues. On post flight found right side pitot tube had separated from its casing in flight.When this event occurred; we could not distinguish the type of decompression we were experiencing. In all my years of sim training; when it comes to training depressurization it is always a rapid or explosive scenario. This repetitive scenario has created a response of extreme urgency in my opinion for crews to expedite masking up; and starting down. This particular scenario was interesting in retrospect that we may have been able to take a less aggressive approach to our transition from climbing to descending. The sounds experienced in this event mimicked the sounds of rapid decompression training in the sim; and accompanied by physical sensations and conflicting data displayed were all contributing factors.