I just did some Googling... when I was a little kid I remember seeing an episode of PM Magazine (in '79, so I would have been about 8?) with a guy (and Googling tells me it was Ron, but I can't find the video). I remember he showed that you could actually divide your mouth and whistle two notes at once.
I take pride in being able to whistle "Sweet Georgia Brown," but I only do the basic melody. This guy's tone, articulation and improvisation are incredible!