Killer Whales.
Firstly, canals have been around for over 4,000 years being extensivley used for transportation of goods and of precious water:
In Egypt, canals date back at least to the time of Pepi I Meryre
(reigned 2332–2283 BC), who ordered a canal built to bypass the
cataract on the Nile near Aswan.
So it's not unreasonable to assume that an inteligent and trainable mammal such as a killer whale would have been bred in captivity and trained:
Whales are trained using a system of reward (called "positive
reinforcement" by trainers) by giving the killer whale food or other
reinforcement when they are successful, and withholding it when they
are not. Secondary reinforcement—things not essential to life,
such as play time, tactile rewards and fun games—can also be used as
rewards.
Are they big enough to be used as a mount? Most assuredly:
Mass: Male: 3,600 – 5,400 kg (Adult), Female: 1,400 – 2,700 kg (Adult)
Length: Male: 6 – 8 m, Female: 5 – 7 m
Compare horse sizes:
380Kg ..... to 1000Kg (for the very largest breeds)
Over time no doubt the ingenuity of the saddlers in your era would have designed a suitable way to mount the animal - but perhaps this would necessitate the removal of the dorsal fin just as the beast reaches it's forth month of life - the permanent mark of ownership/attachment to a master.
But there is a trade off, males can be agressive - one solution is castration:
Male sheep, cattle, goats and pigs are routinely castrated in order to
reduce aggression and subsequent injury.
This may result in reduced agression without the need for harsh punishments, but what if not everybody had their mount's temperament soothed in this way - that would make for the most dangerous of encounters - leaving you with the dilemma - to live with an agressive mount in the knowledge it'll be able to hold it's own in a fight? - or to have the beast tamed this way and keep your head down, hoping for no such agressive encounters?