No whistling came from the days before modern rigging and fly systems. 'Hemp Houses' are what they're called now, but in olden days its just how things were flown. There would be guys pulling the ropes to fly the scenery, without the benefit of counterweights. Well, the best guys whow knew knots, ropes, and weren't afraid of climbing to any height were sailors. Sailors communicated via whistles on their ships, and brought that tradition into working in theatres as their cue system. If you whistled in a theatre, and a sailor up in the gallery thought it was a cue, you could have a piece of scenery, or something else, drop on you.
-Centaura