The PW transformers require a load on the output to generate enough DC offset to trigger some whistles. You can either add a 3rd party whistle/bell button or upgrade the ZW with silicon diodes in the whistle circuit.
If you put some lighted passenger cars on the tracks, my guess is you will get the whistle.
One thing about PW whistle switches. There are two positions as you activate the whistle. At first, the rectifier is switched directly into the circuit to generate enough DC to pick the whistle relay. As the lever travels a bit farther, it kicks in a 6V winding and parallels a low value resistor across the rectifier to boost the AC to account for the whistle motor and drop the DC to the holding voltage for the whistle relay.
Many times if you just move the lever a bit, you can get the modern electronic whistles to function.