The alien-shaped lake in Middle Park is the area the whale is said to be located at. Besides the mention of a whale in Middle Park, there have been no photos or videos to support this myth. However, since the article seems to be just a parody of the reported myths in GTA San Andreas, the myth may not actually be true.
There is evidence against this myth. Whales live in salt water, while the Middle Park lake is most likely freshwater. In addition, the lake is most likely not large enough to support such large marine life as a whale, unless of course, it was one of the smaller whale species.