Would it be possible to have an O'Neil cylinder large enough to house actual oceans and creatures like whales?
What might the energy requirements be to construct this?
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Oceans? No. O'Neill cylinders max out around 1600 km3 (radius of 4 km, length of 32 km as per the original design). That is less than the volume of Lake Ontario, and almost certainly exceeds the structural limits.
A McKendree cylinder on the other hand has a theoretical maximum volume around 8,000,000,000 km3, almost six times the volume of all the oceans combined (1.35 billion km3). Assuming you only want an ocean contained, this should easily fall within the structural limits.
An existing O'Neill Station or a custom-built one?
Much easier to build an artifical whale preserve on Earth, and that is difficult enough.