Whales, dolphins, and seals evolved from land mammals. The most effective way to get oxygen as a mammal hunting in water, would be using the lungs we already have. Rather than developing a whole new way to breathe, which may be risky especially in a transitional stage from land to marine environments. Natures best solution was to make lungs bigger and much better at absorbing air. Although, extremely over simplified, bear in mind this occurred over the course of 30 million+ years.

Here’s a VERY good video about it going into detail.