I've had several land based holidays in and around Lisbon and never heard of anything like this. If you tell us which cruise line you are going with, this may help us work out if there is a shore excusrion like this. Even if there is one, unless you are going in the height of summer, sea temperatures are not very warm in and around Lisbon. then again, maybe it is at a marine park rather than in the sea with wild dolphins. Most cruise lines web sites have a section that tell you what shore excursions are available.
I think it could be a marine park and we are going with P & O Cruises on the Oceana.