Well, some steam locomotives had actual airhorns attached to them as well as whistles. A few locos in Trainz have this, K&L's NYC 4-8-4 has that configured, for instance. There are a few videos of those horns in action, as well - I know there's a video of 4449 with one from a couple years back. Pretty interesting.
OP might want to consider specifying which he means - horn or whistle?
Cheers,
SM