No, the Tulsa Zoo does not have an aquarium building. This building used to have two large tanks, one with nurse and white-tip sharks and one with a mix of coral reef fish. Those tanks were taken out in an earlier remodel. These free-standing tanks are now in roughly the same area.
Tulsa has never had dolphins. You are probably thinking about the "Aquaticus" building at the OKC Zoo. It is a dedicated aquarium building and did formerly house dolphins.
While the Tulsa Zoo does not have an aquarium building, there is a very nice aquarium in the Tulsa area. The Oklahoma Aquarium is located in the Tulsa suburb of Jenks, about 20 miles from the zoo. It does not have dolphins, but does have a great walk through tank containing the largest bull sharks in captivity.