Hi Tony,
Disappointingly, as far I know, Yamaha PSR/Tyros keyboards don't (at least to my knowledge) include a 'train whistle' sound.
The keyboard I remembered that actually included a 'train whistle' sound was the Technics KN5000. In fact, you can hear the train whistle played 'once' in the 'intro section' on my rendition of "Chattanooga Choo Choo", located on the 'song demos' page of my website:
http://scottyee.com Unfortunately, when this Technics style (big band) is converted to Yamaha PSR Format, the train whistle gets replaced by a horn instrument.
I too wish that Yamaha would have added a 'train whistle' to their extensive voice/sound palette.
On the other hand, there are a few Yamaha country styles which simulate the 'rhythm' of a train. Check your email, I sent you one (I named it: J.Cash) which 'might work out for ya
The Yamaha acoustic instrument voice I might suggest to use to emulate a train whistle's whine would be the 'blues harp' or 'mouth harp'. Hope this helps.
Scott