Dolphins were invented 3 zillion years ago by a galactic civilization named "Nithians" that took residence on an astral plane of salt crystals, meagre traces of lodestone and vast oceans of lemonade. From a figment of imagination, perhaps hallucination, the first dolphin ever created was translated to the surrounding matter, chiselled salt, just a mere model with no life.
It was a statue that was able to withstand the ever-undying nature of rain, wind, and the occasional ludicrous in size, space eagle that singed the surface of all things from beneath the flapping oscillating wings of which had previously bathed in the liquid plasma of the sun and stars. This statue itself much to the creation of the Nithians, little they knew how it had survived for many generations, mystery it be, but not for long.
It had come to realisation that on the day the dolphin was created, the astral planes within their quadrant had aligned in such a way that the light from a near star had been filtered to strange colour as a result from passing through the different atmospheres of the other planes. Only a single spectrum divided from its infinite bounds had touched the statue, but it was enough to rearrange the fresh and tender salt molecules to a substance stronger than the diamond we know on Earth.
The Nithians have believed in a lifeforce that could be controlled by an omnipotent ruler namely Xill that could do 3 things. Create, kill, and bargain. The statue was the talk of the town, salt town. Sometimes Xill could hear about it in the empty space of which sound can't even travel, it was his ability to hear the thoughts of others, however above all things he could do, he could not recreate the dolphin statue no matter how much he tried, instead creating dolphins with life, actual skin and organs and it could, somehow, breathe the vacuum around. He discarded every failed attempt, left drifting aimlessly.
Xill had approached a Nithian in charge of the statue and he did so with pyro techniques and fog machines. It truly was a sight to see. From the smarts of the Nithian in charge, he chose to bargain; give the sculpture to Xill and in return have Xill create a real immortal dolphin that could possibly rule the lemon seas.
To Xill's surprise the task given was way too easy as he practised many times, quickly covering his previous attempts with a blanket of dense nebula, nothing to see there.
Xill did not simply grab a dolphin of out the nebula, he was a celestial being of class. He created an immortal dolphin as demanded, additional touches to the creation such as a series of clicks as its only form of communication, something the other animals did not have.
Until Xill was satisfied with the final dolphin, he deemed it perfect along with a terraformed small lemon lake that split across the salt town. There the dolphin writhed and splashed with considerable joy.
The dolphin had embedded in its genome, a small part of the lifeforce from Xill, but altered so that it would have the ability to protect the Nithians from any sizable threat. It was well treasured to the Nithians, more so than the statue.
So far as the rest of the omniverse is concerned, there is only one dolphin that rules before Xill.
About the nebula of the lost primitive dolphins, some were motion sick in the process of travel, but they found a place to stay after hundreds of years in adrift... Earth.