I'd suggest two high-pitched sine waves, one slightly detuned. A bit of EQing magic (and perhaps some LFO's) would make it sound good, but I can't manage to make a very good whistle in Massive right now.
how about 2 sine waves, or 1 saw, 1 sine layered together? try detune one of them by an octave and add some lfos on the cutoff filter so it can make a slight "wahhh" sound in the synth.