Well, technically yes, but most adult dolphins do not have hair:
> Unlike most mammals, dolphins do not have hair, **except for a few hairs around the tip of their rostrum (beak) which they lose shortly before or after birth.** The only exception to this is the Boto river dolphin, which has persistent small hairs on the rostrum.
Whales do, and depending on your definition of "hair" - that includes Baleen - which is composed of fine keratin fibers, much like normal fur/hair, which is the distinguishing characteristic of "Baleen whales" (like the Blue Whale).