VW whistle control trouble

Are you trying the whistle with the locomotive on the track? If you try to blow the whistle only with no load on the track circuit the relay will tend to drop out except at the lowest voltage.  Add some lights to the transformer. 

The reason more load than just the whistle tender is needed (as described by Chuck) is that the whistle relay is activated by a D.C. bias that is generated by the whistle control.
In the final switch position the amount of D.C. bias is dependent on the load.