After moving a household where my Play A Saxes were I do not know where
they are or I could look.  However, I have taken apart at least three
of them and never encountered a pin holding them together.  One came
apart very easily with penetrating oil and two showed no sign of being
able to be taken apart.  I do not remember if I looked for a pin and it
is possible that the one that did come apart easily had either been
taken apart before and the pin was broken although there was no obvious
hole or I would have noticed and replaced it on reassembly.

Being a very cheap toy, my guess is that if anything was done to hold
them together it would have either been the use of just a press fit and
maybe a little glue or staking the outer tube to the inner parts.  The
inner parts are of heavier metal than the outer so it is conceivable
that staking could be done.

If you do see obvious indentations, there is really no harm in drilling
through those spots in the hope of making disassembly easier.  Still,
use penetrating oil before attempting to take it apart.  You can fill
the holes with epoxy and cover the spot with either a little bronze
powder paint or some "rub and buff".

Spencer Chase