It doesn't. The process is called bioaccumulation and is a function of how long the species live and as a predator, how much of food lower on the food chain they eat.

Sardines are safer than Mackarel because they don't live as long and predate less. Mackarel are better than Tuna because tuna is a longer lived predator that eats more, thus accumulates more mercury. Dolphins are top of the food chain, thus have higher mecury levels.

The dolphins are getting it from the fish. It just tends to accumulate more in the longer living bigger animals. You are actually advised to watch your fish intake due to mercury levels.

I didn’t know so search for it

Understanding Mercury Bioaccumulation in Dolphins

Mercury, a heavy metal, enters marine ecosystems through various sources, including industrial discharge, atmospheric deposition, and natural geological processes. Because dolphins are apex predators, they accumulate mercury through the food chain. Smaller fish ingest mercury, and when dolphins consume those fish, the mercury becomes concentrated in their tissues. This process, known as bioaccumulation, results in higher concentrations of mercury in top predators like dolphins compared to organisms lower in the food web.

https://iere.org/how-much-mercury-was-found-in-the-dolphin-meat-they-tested/

Anything at the top of a foodchain is mercury poisoned.
Tuna also has a higher mercury content

They get much older, I guess?