It has nothing to do with singular. If you want to ask "what kind of dolphin is this/that?" then you can ask "milyen ez/az a delfin?" and if you speak with the dolphin then you should ask "milyen delfin vagy?". Hope that it helps.
Duo's suggested translation above is plural: Milyen delfinek vagytok? I think that omer33252 tried to answer in the singular (since you can't tell from the English, after all, which way it should be). But he put in an unnecessary definite article.
Well, jsiehler, neither in plural nor in singular is not needed that definite article "a". For me at least, your explanation was misleading, focusing on the singular solution and not clarifying the wrong usage of that useless "a". ;)