you have an uncataloged American Flyer set from about 1936 or 37. the last few Chicago Flyer catalogs were very thin (~25 pages). Schuweiler states that the locomotive/tender combination can be found in a 1935 Sommers catalog.
the locomotive is a Type XX (2-4-0) with a Type XII (#1121) tender. there should be a whistle mechanism in the locomotive cab.
the cars are a #1128 Sinclair tank car, a #311131 sand car, a #311267 PA hopper and a #1127 AFL caboose. trucks are the simple Type X. the same cars can be found on 4 wheel frames for clockwork sets.
nice late set; not very rare, though still operational whistles of this sort aren't very common.
good luck with it.
cheers...gary