There is no such Medrash, this is a fable. Cut and paste to see this link. pn.b5z.net/i/u/6147132/i/A_Tale_of_A_Tail.doc
The website redsea-divingsafari.org mentions that there are dolphins living in the red sea, however as I mentioned above there is no such Medrash, this is a fable.
There are various sites in the southern Red Sea where Dolphins
congregate or live. Sammadai national park and Satayah reef are the
most well known and both sites are home to spinner dolphins. It is
very common to spot these beautiful creatures roaming about the sea
anywhere in the south. They are usually very playful and will approach
closely so long as you stay calm and respect the dolphins space.