where it lives
Ocean water at either end of the map, spawning on its own with no conditions attached. They leap and flip above the surface and occasionally poke a head up toward whoever is closest, which is the only reason most people notice one at all.
you cannot keep one
It is the ocean critter you would most want in a cage and the one you are not allowed to have. A Bug Net does nothing to it and no cage exists, because the game counts it as too big to fit in either. The Sea Turtle has the same problem. That leaves killing one as the only way to register the Bestiary entry, which is a bleak requirement for something the game describes as nearly as clever as you are. It has almost no health and no defense, and hostile spawns in the water will finish it off without your help, so tick the ocean entries off while the coast is quiet rather than during an event.