Yes, whistles are there.

I would usually pull up a drum kit that already has the whistles mapped - although you can also pull up any drum kit and manually add them.

... and to find the right kit (or waveform #) - I would go to the data list. Found here: https://usa.yamaha.com/products/music_production/synthesizers/modx/downloads.html#product-tabs

For now, a direct link to the data list is: https://usa.yamaha.com/files/download/other_assets/2/1192592/modx_en_dl_d0.pdf

When I search for "whistle" I find the drum kit "Rock Star" (data list page 21) has a whistle on MIDI notes B3 and C4. Judging by surrounding drum names - it looks like this is in a "latin" part of the kit - which seems appropriate enough ("samba whistle" https://www.youtube.com/watch?v=_mLe2uad1E8 ).

You'll notice this whistle is Waveform # 3220 (for BOTH MIDI keys B3 and C4). Likely with different pitch shifts for each so they are different. If needed, you can adjust the pitches to match your recording or just leave them alone.

That's not the only drum kit with the whistles. You can search through the data list and find them all. B3 and C4 seems like the standard place for this whistle. Lots of kits have it.

Found it! Thanks.