When you whistle, your mouth acts as a Helmholtz resonator: the movement of the air past your lips is causing pressure disturbances that cause the mass of the air inside your mouth to oscillate on its own compliance (like a spring-bob oscillator). The frequency produced is determined by the volume of air and its density, as well as its bulk modulus (mass and stiffness).
Broadband noise is also produced by the rushing of turbulent airflow past your lips; this might excite higher harmonics, but the amplitude of the resultant vibration at these frequencies is likely to be very low.
Certainly if you do an STFT of whistling at a single frequency and plot as a waterfall plot or colour map, it looks very much like there is a single frequency only.