Dolphins may represent guides of souls and messengers of God(s). On Ancient Greek funerary urns, they represented the passing of the soul to another world.
The dolphin is associated with water. Though it usually has a pagan connection (the dolphin as a friend of man, saviour of the shipwrecked, guide of souls to the Blessed Isles, etc.), it has also been adopted by Christians as symbolic of baptism or of Christ the Saviour).