This simply isn't true. Whales and dolphins can interbreed and they are separate species. They normally do not due to a darwinian concept called "sexual selection". They do in captivity though and they are called "wolphins". They are not hybrids as they can reproduce. This article shows one form of sexual selection driven by changes in the capabilities of the fish's eyes.
That means that those dolphins and whales are actually subspecies of the same species.