Cetaceans are thought to have evolved from semi-aquatic land mammals. (Prehistoric hippos, more or less.) It seems reasonable to assume that traits like larger lung capacity and higher CO2 tolerance were gradual, incremental gains that allowed these animals to venture further and further off-shore to hunt, or allowed them to stay submerged for longer and longer periods of time. Those with the mutant traits outcompeted the rest, and this process was cumulative. Whether concurrently or shortly thereafter, evolution transformed hands and feet into flippers.

To this day, whales have vestigial arm, wrist, hand, and finger bones in their front flippers. Baby whales of certain species are also born with a very light amount of fur, which they shed a few weeks after birth.

Cetacean evolution is a fascinating topic.