The original Athearn Challenger had an MRC decoder that had limited functionality. I don't think a playable whistle was included - it was more of an "on or off" thing.
I've long since replaced the MRC (which also had poor slow-speed control and bad chuff sync) with an ESU LokSound and a 13x18mm speaker. There's a ton of room in the tender for this, and the only difficult part is identifying the wires that go back to the tender, since they are all black (plus the original headlight is a bulb, not an LED, but you still need a dropping resistor since I think this is a 1.5v bulb instead of a 12v one).
This is what my converted Challenger sounds like (I replaced the bulb with an LED on this one, too):
John C.