I know that phew and whew are both exclamations. However, I was surprised that although phew is pronounced as /fjuː/, whew is pronounced as both /hwjuː/ and /fjuː/. How can wh be pronounced like f? Is there any other word where this happens? Is there any explanation for this?
I see that the oxfordlearnersdictionaries.com link you've posted has "whew" pronounced as "/fju:/". I think that this link is much more representative of how "whew" is intended to be read/heard.
As a native speaker, I have never seen or heard of "whew" being pronounced any way other than "/hwü/". I would always write "phew" (and never "whew") when I wanted to indicate the "eff" noise at the beginning of the word.