Oh yeah I took it to just be wordplay, interpreting wordplay is still sometimes stupid hard for me, even despite the fact that I speak English at a near-native level and can understand each word individually.

It's a good question how "whale" ended up having this particular meaning. I was in the games industry for way too long and first saw it used in the context of big spenders in freemium mobile games, but I have a vague memory that it's used in the same way in the gambling / casino world. Your guess for the history sounds pretty believable, and it seems like the ginormous size of whales could play a part? Big spenders stand out from the "small fish"