From my experience (full size, anyway), a steam whistle on air sounds thin and thready - And an air whistle on steam often makes some weird sounding harmonics.
Air and steam do not expand at the same rate, it takes a larger volume of air to do the same job. (except it ISN'T quite THAT simple, there are things like the moisture content in condensed steam that affect the sound quality as well - as much as we like to believe in science, I'm not sure physics has completely explained ALL the "why's")
As for the air gap question, the space between the bowl and bell mostly determines the operating pressure - the wider the gap the higher the pressure. That's why most single chimes have the bells on threaded stems - you simply adjusted it up or down to best match your operating pressure... Many multichime whistles had a "bologna" cut to accomplish basically the same thing with a fixed bell - there is a website that explains it somewhat better than I can.