Because the key is the key of the tune! Just because the bottom string on my guitar is E, it doesn't mean that I can only play tunes in E...

Having C and D whistles are the equivalent of a capo. IIRC, tunes played on a C whistle are actually in a key one tone below that written. This may be more convenient for playing certain keys (eg. F), or a whistle player may just do it to get a different tone in the same way a guitarist would change tunings.

Graham.