Southern Railway no. 4501 (the engine responsible for the recording) pulling into Grand Junction Station on the Tennessee Valley Railroad line with a passenger train in 2019.
This sound effect can be found on Burtis Bills' Sounds of The American West, which was made by The Hollywood Edge. The whistle was sourced from the Princeton Step-top/Southern 3 chime whistle from the Southern Railway Locomotive (2-8-2 "Mikado") no. 4501.
The second whistle element from this sound was taken to make a new sound effect for the same album, but in a high pitch. it's called: Hollywoodedge, Steam Train Whistle BB030101.