Carrie Michael and 3Doodler wrote a tutorial on how to build these functional instruments with a 3D printing pen.

For the most parts produced with a 3D printing pen, you use a template on a sheet of paper or an other object, to form your 3D prints. In order to form the ocarina the artist used a common scoop to build the ocarina around its curved back.

If you are interested in building your own you should check out the tutorial from Carrie Michael and you should definitely check out the many ocarina designs the artists sells on her Etsy page.