What hair do aquatic mammals have?
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).