The flute is thought to be at least 40,000 years old, the first ones made of animal and human bones. I've never found a text related to how the "sounds produced by air flowing trough cavities" was first thought about or discovered. How would that have probably been like? I know there should be a lot of ways to come up with this, but does somebody knows a text, myth or legend talking about this?
Because this was certainly a prehistoric invention, you might also do well to ask this excellent question of /r/Askanthropology. Just because it was a prehistoric invention does not preclude some bit of folklore explaining the invention of the flute after the fact - though I wouldn't regard it as necessarily an accurate description of the event(s). Stith Thompson's Motif-Index of Folk-literature is silent on the matter.