Does the whine occur only when using the radio? Or when using both radio and CD player functions?
In addition to ferrite beads, small tantalum (e.g. fast ) capacitors going immediately to ground from the power
input wire on both the Sony and water heater will help.
These will bypass high frequencies to ground; the ferrite beads block them as well and the effect is cumulative.
I'm surprised that the Sony is susceptible to this; a car is a very noisy place wrt RF, with alternators, small DC motors (windshield wipers, power seats/windows), etc. This is a common problem, and there are lots of hits on google for
"car audio noise filter" and the like. Any place selling better car audio gear will have stuff for this if you don't want to roll your own.
Lots to read...