Erik the Flutemaker makes something that looks a lot like that:
Click here
I don't own a set but they look pretty neat. Since the instrument is made of two pennywhistles you are limited in your range of notes when you're playing both at once, however.
If you want to play stuff like in the movie (i.e. a wider range of notes) I'd go for something more like Hind's Double Ocarina, which gives you an octave in both hands.
