You probably need to remove the axle pin in order to straighten it.
The axle pin will probably have one end 'swaged' and the other end formed as a 'pinhead', so you will need to decide which end is the easiest to undo.
Of course, depending on your method, it could leave the axle pin 'short' so you might need to find an new piece of piano wire (or some stiff wire that won't bend easily.
Alternatively you can buy replacement axles:-
http://dinkyclub.com/dinky-toys-mild...-10-1138-p.asp