A version of "What the Fuck?" used when the real phrase is either inappropriate and/or insufficient to show how surprised/annoyed you are. After all, whales don't fly.
--> usually used when you can't believe what a curve-ball life just threw you.
-Teacher: "Okay, hand in your essays."
-Students: "You didn't assign any essay..."
-Teacher: "What? I told 2nd period, so you should have known. Turn them in please."
-Students: "Whales That Fly?????"
*you try to take cell phone out of pocket but it accidentally falls and the screen cracks*
-You: "Ugh! Whales That Fly."