From Halopedia, the Halo wiki
The Harvest whale was a marine animal native to the human colony of Harvest that was to appear in Halo Wars. It was ultimately cut from the final game. It was more eel-like in appearance than Earth whales, and was thus probably not a true whale.
When Harvest was glassed, the human population suffered tremendous losses, but the natural environment fared little better. The entire ecosystem was turned to a toxic environment, leading many native species to die off or be slaughtered by the open toxic air. The Harvest Whales suffered such a fate. The fate of the Harvest Whales and the other animals on the planet Harvest is unknown, though most likely most if not all the species have been rendered extinct due to the environment.