The Middle Park Whale is one of the creatures that is supposedly present in Grand Theft Auto IV.
In an article from the Liberty Tree, the following statement can be found: "In related news, police are investigating claims a whale was seen swimming in Middle Park". Since the article seems to be a parody of the reported myths in GTA San Andreas, the myth may not actually be true. The alien-shaped lake in Middle Park is the area the Whale is said to be located. Besides the mention of a whale in Middle Park, there have been no photos or videos to support this myth. This myth is more likely when one takes into consideration the fact that Sharks are in GTA: San Andreas.
There is however, evidence against this myth. Whales in reality live in salt water, while the Middle Park lake is most likely freshwater. In addition, the lake is most likely not large enough to support such large marine life as a whale (Unless of course, it was one of the smaller whale species).