Great job on this! You've got an interesting subject (I don't think I've ever seen an anthro whale before), an interesting pose, and the coloring/shading turned out wonderful!
Using the lighter blue on the edges works well to give the impression that his skin is shiny and slippery, exactly what you'd expect for a whale! If you wanted to do more shading, you could try adding light shadows to the inside of his mouth, below where his arm rests against his chest, etc. I'm not sure if you need to do more shading... it might make the pic look too cluttered.