"March of the Volunteers"?
Sympathy For The Devil?
He was whistling the risque version of “Whistle While You Work”.
If you don’t know that version, it has references to Mussolini, Hitler, Weenie and Work. Doubt if it is copyrighted so it probably won’t show up on Google.
Now that is a good question, and could well start an amusing caption contest.
"Zippety-doo-dah?"
The "Communist Internationale?"
"I just met a boy named Reggie?"