The Sand Dolphin is hinted in the Perfection Island Herald which attacked Sunbeam. Sand Dolphins appearance is unknown and it is only an article in Perfection Island Herald, meaning that it doesn't effect your gameplay and it doesn't appear in game itself.
The Sand Dolphin appears in Panic in Paradise, but you only get to see their dorsal fins while they swim in sand or in shallow waters (Aquatic Sand Dolphin). Naughty can find one of their tentacular teeth (Horntooth) behind the dumpster near the Club Underground. This tooth is at least five feet long and really sharp, another hint of how deadly a Sand Dolphin can be.