I came across this story as part of my AuthentiCity project in 2007 – a site specific animated fictional history of Leeds from public submitted stories.  It was originally intended for mobile projection but health and safety prevented the performance at the last minute.  7 months later we retraced the underground route of the dolphin as close as possible on the surface in the mobile projection campervan of Re#.
See the myth below
Dolphins below the City
I have been reliably informed by a friend who used to work at the ‘Underground’ bar, below the Town & Country Club (now Creation Night Club), that in Victorian times the building was sometimes used to host Circuses, & with this in mind, tunnels were built from the cellars to the Station, so that dangerous animals such as tigers could be transported there without putting the public at risk.
I have also heard that, on occasions, the tunnels were flooded with water, which allowed dolphins to swim, underground, below the city, & emerge to give displays within the building.