You may have to install extra voices somehow, looking at the manpage for say, it seems like 'say -v ?' would list the voices installed, but I don't seem to have any (like Whisper), though plain old 'say "hello world"' does do a robotic voice which must be the default.
Not sure if you can install additional voices using the command line, but the way you do it in the UI is Preferences -> Accessibility -> Spoken Content, then select customize in the voice selector and finally select the voice you want to add.
Thanks, I found those with some digging, I see that even just adding Whisper it's a 3.8GB dl, mostly to upgrade the default voice apparently - I guess that's why it isn't all included by default I guess!