Welcome to the forum!
Your problem could be caused by either of two things - the whistle rectifier could be bad in your transformer, or the wires from the transformer to the track may need to be reversed.
Reverse the wires first to see if the whistle blows on your engine. If it does not, the whistle rectifier may need to be replaced.
The whistle rectifier puts a DC voltage on the track. You need to set your voltmeter to read DC volts to check if the whistle rectifier is working. You should read about 5 volts DC on the track when you press the whistle button.
Larry