Simichrome (sp?) metal polish works well on nickel. You'd be amazed how much dirt will come off. You'd have to remove the keys from the horn, though. It's messy. After cleaning, you can use 409, Fantastik, etc. to keep them clean. If you've got silver keys, you might be able to clean the keys, on the horn, with a Q-tip and some of that silver polish that comes in a clear jar, or just a silver polishing cloth.
If it's nickel plate it's a thankless task trying to get a shine back on it - and, as has been said, a messy one.
Quadruple 0 gauge wire wool does a very good job and only leaves a residue of fine particles which can be easily brushed or blown away.
It will destroy a silver plated finish though - so you have to be very sure of what your keys/bell are finished with.
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