You cannot use 'una delfín'! You have to choosse between 'un delfín hembra' or any other similar option such as 'un delfín chica' if you are talking to a very small kid (to me, personally, 'un delfín mujer' doesn't sound right).
Unless it is critical to know it in advance, the gender of the dolphin will be obvious as soon as anybody talks about her, or uses an female adjective. In English only pronouns (he/his) tell you the gender, while in Spanish most adjectives do.
'Delfín' has epicene gender, meaning there is only one gramatical gender for both sexes: la rata, el escarabajo, la hormiga, la ballena, el delfín, la foca... Una delfín sounds as wrong as un rata, un foca, una ratón