I can totally whistle both in and out but I wanted to vote for the wrong way. What a dumb concept for a children's book!
Although I now whistle both in and out (and voted for out), I first learned to whistle by breathing in. When I started figuring out whistling the "right way," I could only whistle two notes that way, and would whistle the rest of a song breathing in instead. Now, it comes in handy, because I can whistle tunes without stopping, since I can do notes breathing in or out.