I had this issue with my first steam Railsounds. Just like you're saying, whistle blew fine standing still, but running, not so much.
I put together a group of four resistors, around 100 ohms each, connected in parallel, and attached the whole group in parallel with the transformer output and the track.
Putting them in parallel with one another caused a higher current draw that improved the whistle performance considerably.
These are the heavy duty ceramic resistors, not the little ones you find in electronic devices. Those kind would melt if subjected to the current our trains draw.
Also, even the ceramic resistors can get hot during normal usage, so if children will be using your layout, place the resistors someplace where they won't accidentally be touched.
Eventually I went over to Legacy, but the resistors were a good stop gap.