When the clay has cooled, use two-part epoxy to glue the whistles in place. You might want to roll each mouthpiece a little outward to suit the curve ...
Remember Jen's double flute in The Dark Crystal? You don't? Oh, well, you must have more friends than me. Anyway, here's a way to make an unusual instrument using two cheap penny whistles, some sculpting clay, and whatever decorative touches you prefer. By the way, when you view the attached video, keep in mind I cannot play penny whistle. At all. So don't bother telling me. And if you do play the penny whistle, and make one of these contraptions, please send me a video so I can post it instead.
Step 1: You Will Need
Two penny whistles. I used Flagolet brand in D. I suppose, if you were clever enough at music theory, you could choose whistles in different keys that would harmonize in a cunning way, but one of the limitations of this instrument is that you will be using the same breath pressure on each whistle, so it's hard to play low notes and high notes simultaneously.