The penny whistle in its modern form stems from a wider family of fipple flutes that have been seen in many forms and cultures throughout the world. In Europe such instruments that have a long and distinguished history and take various forms; most widely known of these are the recorder, tin whistle, Flabiol, Txistu and tabor pipe.
Almost all primitive cultures had a type of fipple flute and is most likely the first pitched flute-type instrument in existence. The oldest example includes of a Neanderthal fipple flute from Slovenia dates from 81 000-53 000 B.C., a German flute from 35 000 years ago, and flute made from sheeps bone in West Yorkshire dating to the Iron Age. Written sources that describe a fipple-type flute include the Roman and Greek aulos and tibia. In the early Middle Ages peoples of northern Europe were playing the instrument as seen in 3rd-century British bone flutes, and Irish Brehon Law describes flute like instrument. By the 12th century Italian flutes came in a variety of sizes, and fragments of 12th-century Norman bone whistles have been found in Ireland, and an intact 14 cm Tusculum clay whistle from the 14th century in Scotland. In the 17th century whistles were called flageolets; a term to describe a whistle with a French made fipple headpiece (common to the modern penny whistle) and such instruments are linked to the development of the English flageolet, French flageolet and recorders of the renaissance and baroque period. The term flageolet is still preferred by some modern tin whistle makers as this characterises a wide variety of fipple flutes, including penny whistles, who feel this better describes the instrument.
for more information see http://en.wikipedia.org/wiki/Tin_whistle#History_of_the_penny_whistle