you can do a flute or an ocarina relatively easy using clay. If you have access to a kiln. Or use wood . You can make a pan flute relatively easy.
I did a project like this and I made a thumb piano. Basically get some 1/4 inch- 1/2 inch wood of your choice, i used maple, you can use really anything. some small "birdhouse" nails. (just like small little 3/4 or 1/2 inch nails. Make an open box. So 5 of the 6 sides complete a back piece and 4 sides. then create a hole on the front piece much like that of an acoustic guitar. then put that on the open box to create a hollow box with a hole on the top. Get some metal sheeting, (use a strong metal not like aluminum or tin something that is resilient) say you buy a square of it. 4"x4" cut it diagonally. then cut up wards on the diagonal edge about 1/8th of an inch between cuts, and leave about an inch at the top (this inch of excess is what you will use to put it on the box. once you have made your upward cuts. Take every other frill and cut it off so you have a 1/8th inch pieces of metal seperated by 1/8th inches of space. bend all of these slightly upwards, nail the inch long excess to the box above the acoustic hole so the frills are above the hole. You can now "pluck" the metal frills and creates notes and it sounds pretty cool.
You can go in and do the math yourself to figure out how long the frills need to be to achieve a certain note and what not but this is a basic lay out of how to make one. It's simple, easy to make, and fun to play.
here is an example of a professionally built one you can buy.