Again, said it before, will say it again, the whistle path is horizontal and small diameter. This path, liquid drops will form a wall, and the incoming smoke wind will blow this into a wave, that then blocks the path. You have to forcefully blow or suck down that path, thus forcing out this excess fluid, and only being pure smoke can now travel down the path.
Blow down the tiny whistle hole from the top, or place a clean cloth over it, and suck up ( the cloth acting as a filter so you don't breath in smoke fluid).
This applies to most whistle steam paths- but in this engine, the scale nature of the final exit is worse than others.
Again, the 2 factors- horizontal path- tends to allow drops to sit and form in the path and overall diameter of the path.
The black plastic molded tube path direct out of the fan- again, dead horizontal rising up at the final end. Sorry, this is just the low resolution picture Lionel provides from the parts site.
then even the tiny scale hollow whistle.
Again, look at the distance from the smoke fill location, to the final exit of the whistle- mostly horizontal path.