Too funny! I read this thread thinking someone needed help burying their puppets! Yes, like it or not, SPELLING COUNTS!
Finding miniature musical instruments can be extremely difficult. One of the problems with toy instruments is that they are very rarely proportionally scaled down. They also need to match the scale of your puppets, which can make it even more challenging.
I work for a company that manufactures straps and accessories for musical instruments, and we had an idea for one of our trade shows to use miniature instruments but our search came up empty.
As suggested, it would probably be best to make your own, but the sax will definitely be the most challenging. I once needed a flute for a puppet and I just went to the plumbing section of the hardware store and looked for something that looked particularly flute-like. Once I had the basic chromed tube, I simply glued on some mylar dots (think metallic confetti) for the keys, and voilá, I was in business. I affixed the puppet's hands directly to the flute and then used a single control rod for the flute itself for manipulation.
Good luck!