When I want to learn a complicated melody I whistle it along (mouth) with the recording nice and loud and as I get more confident of the notes I just turn the recording down until I can turn it off entirely. The Old Time Music Archive's fiddle tunes work well for this. Can't those be penny-whistled too? The MIDI's can be grabbed off it as well.
THIS THREAD has a link to the Archive, and some discussion that might be applied to whistle.