Budget distortion analyzer/signal generator

[abbey road d enfer]

As a rule, distortion increases as the output power increases. With a given load, this usually means distortion increases in direct proportion to output voltage. However, the easiest way to achieve a very impressive distortion figure is to measure it with a high impedance load as this represents a very small power even at a high voltage

That is absolutely true; however, a mention must be made to the fact that, when testing transformer outputs, loading them often induces an apparent decrease in THD. That's because the resulting reflected voltage loss puts the magnetic core in a less distorted area; indeed, the output level decreases accordingly. Attempting to recover the previous output voltage results in increasing THD.
Another more or less correlated effect is that some transformer output stages have a tendency to unstability when not loaded, resulting in partial oscillations, which a distortion meter will not distinguish from harmonic distortion.
Nore also that unloading the secondary may introduce some HF peak, which will "enhance" the distortion components.