A steam loco with a horn doesn’t sound right. Horns belong on diesels. A steam loco with a horn is just weird to me.
I once had a neighbor who was a hogger on the SP in the late 40s and early 50s. He said that he ran GS's up and down the Southern CA and confirmed that he never even heard of anyone signaling for grade crossings with the whistle with one. I'd shown him a DVD of 4449 on one of it's trips and he started laughing, asking what was wrong with the air horn.
I seriously doubt nay locos on the SP had a 'hooter' mounted on it, but it's always tough to say, "never" as there could have bene one mounted somewhere. Heck, there's a book on the GS's showing a round SP lines logo was applied to a tender on a GS, something the other books would have said never happened (though it was probably there just for that photo).