It seems to me that she gets a pass for the cookie incident since as the OP said, she didn't know he was married. The only issue there seems to be her somewhat unfortunate choice of attire.
The OP said, "DH really doesn't like the interruptions and he's trying to ignore her but she isn't taking the hint." He needs to be more direct first before we go to the document, build a screen, she's a stalker level.
OP's DH needs to say, at least one, "Neighbor, please don't call to me or whistle at me while I'm working out, it's very distracting." If she doesn't respond to that, he can always be more forceful the next time, as in "Neighbor, I've asked before and you've ignored my request, do not call to me or whistle at me while I'm working out."
You can always escalate, but in general, the first step is to actually ask the person to stop.