So you're asking if Fry had sex with a narwhal? No, no he didn't.
But I wonder why a whale? Why even an animal?
Because with an animal he can come to the realization that she's better off with one of her own kind, and that if he truly cares for her he should want her to be happy even if she's not with him. Then he can apply that lesson to his situation with Leela.
If it was a woman instead of an animal, he'd never get past the first step, because why shouldn't she be better off with him than with someone else? He'd never learn the lesson.