He could have a little piece of stuck shed in his nostril (that you can't see) and when he breathes heavily it starts to whistle.

Personally, I wouldn't associate it with an RI unless there was at least one other symptom other than whistling. That alone is not enough to diagnose it as an RI.

Chances are he is just fine but it wouldn't be a bad idea to swing by the vet and make sure everything is in order.