Check out this article I stumbled upon:
http://www.earlyblues.com/featured_article.htm
An excerpt:
A story handed down by ex-slaves claims that one evening a slave was feeling low in spirit and heard a plaintive cry of a night bird. The sound inspired the slave to get a piece of cane from a canebrake and cut some holes in it. He then commenced to play a "blues" on his whistle.