It’s a somewhat remnant of their ancient ancestors. Fish evolved from animals that slithered on the sea floor so an undulating movement helped them move, the fishes side to side moving tail is suited to it.
Marine mammals evolved from land mammals whos legs were underneath them and had an unstable gait to allow rapid direction changes. To extend their stride they flexed their spines up and down, so when they evolved to be fully aquatic the horizontail tail shape came with it.
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