Daniel, I think you've had all your questions answered enough already, unless you provide the information that the Moderator (me) has asked for twice now. That you play some whistle and fiddle is a start. Where are you located? How long have you played, and at what level and experience? What kind of music do you play? Do you have any technical experience building or modifying instruments? What is your goal, recording or playing, personal or professional?

We will approve your additional posts only if that information is forthcoming. Thanks.

- Moderator

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Vivat diabolus in musica! MTGuru's (old) GG Clips / Blackbird Clips

Joel Barish: Is there any risk of brain damage?
Dr. Mierzwiak: Well, technically speaking, the procedure is brain damage.

Good choice - should it fall down, no need to bend over to pick it up...

Seriously - for a relatively long and thin object like this, clay certainly is not advisable as it is too fragile, it probably would already break in the oven. Also, the dimensions will change in the process of baking, and you have no way of adjusting the fingerholes afterwards. And, as clay is quite porous, it will probably not make for a stronger tone at all.
If I were to make such an instrument, I would try plastic in the first place, as it is cheap and relatively easy to work with (be prepared for a bit of experimenting until you get sound and tuning to meet your ideas), lateron you might make a definite version in aluminium, brass or hardwood - whatever suits your skills and your equipment.