Look at that blushing ooooo weeeee . Now, I think with that picture you took someone will get on here today and confirm that yes it is in fact a piece of shed causing the whistling. From the picture and everything you've told us I think that’s what’s going on. Nothing to worry about IMO and the safest course of action is probably to let the next shed cycle take care of it. Glad the sock trick worked for you! Beautiful animal you have btw.