What are you using for your sounds? If it is the included GM MIDI Coyote you would need to set a program change to 79. 79 is the GM setting for whistle:
1-options
2-MIDI Patch Maps, etc
3-Choose patch from General MIDI Patches
4-Pipe
5-79 Whistle

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I arrived early to a restaurant.
The manager asks, "do you mind waiting a bit?"
I said no.
"Good", he said. "Take these drinks to table 3"

64 bit Win 10 Pro, the latest BiaB/RB, Roland Octa-Capture audio interface, a ton of software/hardware