Re: Dolphins. There is an excellent website that breaks down "Heroes" in fantastic detail. It turns out the dolphins line is actually brilliant.
Where the lyric of “Station to Station” had been a profusion of imagery hauled out of Bowie’s inventory of obsessions, “Heroes” is far more minimal, its words simple and precisely chosen. Bowie drew from two main sources, both European, both postwar(s). One was the short story “A Grave For A Dolphin” by the Italian aristocrat Alberto Denti Di Pirajno, which details a doomed affair between an Italian soldier and an Somalian girl during the Second World War (it inspired the “dolphins can swim” verse).
I know its Bowie, but if they are at the Berlin Wall, what good will being a dolphin do? It might make more sense to say “I ... I wish I could burrow, like the prairie dog like prairie dogs burrow...”