I don't actually want to do this, but I'm writing a story and I'd like it to be scientifically accurate. A marine biologist will be doing the heist, so any advanced and cool knowledge is welcome.
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You Will Probably Kill It
The task of moving a dolphin safeley requires a dedicated team of highly trained and educated specialists working 24/7 with extremeley expensive specialized equipment. If your amatuer attempt doesnt outright kill it then it will die in the ocean since modern day dolphins in captivity were not captured from the wild, but bred, born, and raised in captivity. They not only have never had to survive outside of a perfectly controlled environment with regular feedings, thier parents, grandparents, and great grandparents didnt either. Dolphins are social animals that must be taught survival behaviors from fellow pod members. They have not developed functional survival skills. In addition, one of the worst traits for survival in the wild has been trained into them. They haven't learned to steer clear of predators, or even what predators are.
Removing them from captivity will kill them. Either swiftly during the botched moving attempt, slowly starving to death in the ocean, or violently at the hands of predators.
Let’s just say your plan is to go to Sea World, open a gate and let the dolphin swim to freedom. It’s an admirable plan and if you ended the story right here it would have a happy ending.
In reality, it’s going to die.
Whether it was born in captivity or captured in Taiji, Japan, you will need to train the dolphin to survive. Captive dolphins never learned how to hunt. In the open ocean, they work as a team with their pod to capture fish. When captured, the trainers in Taiji break dolphins of their independence to only take food from trainers.
You can’t have the dolphin wander into the nearest pod and have the pod adopt it like a long lost brother. They don’t adopt orphans and would likely kill your freed dolphin. So you’d have to track down its home pod and return it to its family. But nobody tracks which pod a dolphin came when it was captured, so it’s incredibly hard to integrate one back to where it belongs. Even if you knew the geographic location of the pod, they can be hard to locate even if you were only a mile away.
If you could train it to fish, the question becomes does it still have teeth to capture fish? Dolphins and whales chew on the sides of the captivity tanks and wear them down. This is an ongoing problem with captive cetaceans.
When people talk about freeing whales and dolphins, so many of us want to see it happen, but realistically best hope is to move them to a cove where full time assistants will feed and care for them, but finally they would be out of the tanks. Hopefully once dolphins are freed, they surprise us and are able to care for themselves, but that's most likely fantasy. Your heart is in the right place for this story, but sometimes reality does not offer a sparkling future.
Good luck in emptying the tanks.