Multiple people have already pointed out cetaceans in general as difficult species to breed, but I'd like to mention specifically Pilot Whales.
Despite being held in captivity since the 1940's, you can quite literally count on your fingers the number of Pilot whale pregnancies that have happened. To my knowledge there's never been a Pilot Whale calf conceived captivity. There's been a small handful of pregnant animals captured who suffered miscarriages pretty quickly, back in the 50's-80's. There's also been a few hybrids that were conceived in captivity, one in 1981 with a Bottlenose Dolphin at SeaWorld (who was either a near full-term miscarriage or died a few days after birth) and, most recently, one in 2022 with a Pseudorca at the Taiji Whale Museum, who lived to at least 5 months old and MAY still be alive, though the language barrier and the museums tendency to not report deaths makes it very difficult to tell for sure.
(also of note, the mother, a wild-caught Pilot Whale named Gita, did not nurse her calf for at least a month, after which staff stepped in to hand-feed it)
Regardless, this 5 month old Pilot Whale hybrid is the best success anyone has ever gotten at breeding pilot whales in captivity over 80 years.
Despite being species that's pretty commonly kept, that adapts decently well to captivity - for cetaceans, at least - they simply do not breed. There is zero record of any pilot whale ever conceiving a calf in captivity, let alone carrying it to term.