They appear randomly in the world, but you can also use a tag and an anvil to create the desired version of the mob.
Bottle, Bottle 2, Orca, Pilot Whale, Killer Whale, Melon-Headed, Pygmy Orca, Cameroon, Springer, Common, Common 2, Dusky, Frasers, Hourglass, Rollever, White Stripe, Peals, Clymene, Striped, Tycuxi, White beaked, Bridle Dolphin 1, Bridle Dolphin 2, Black, Comersons, Heavisides, Hectors, Pink Dolphin, Irrawaddy, Northen RW, Southern RW, Rissos, Roughtoothed, Narwhal, Beluga, Beluga 2, Burneisters, Vaquita, Spectacled, Finless, Harbor, Dalls, Boto, Baiji, Indus, La Plata.