We do occasionally see dolphins in the sea round the island, but they're very shy. I think the closest you'll get is the aquarium at Cal Gracio near San An. It's actually called the "Cova de ses Llegostes" and it's a cave where they used to keep lobsters. Now you can see examples of most of the aquatic life from round the island, but no dolphins performing tricks I'm afraid. That said, it's quite an interesting place to spend an hour or two out of the sun.