Sorry if I have not answer you faster. A blubber layer just underneath the skin is made of fat cells and fibrous connective tissue. Blubber insulates the whale from the cold ocean water.
All marine mammals have special physiological adaptations during a dive.
These adaptations enable a baleen whale to conserve oxygen while underwater. Baleen whales, like other mammals, have a slower heart rate while diving. When diving, blood is shunted away from tissues tolerant of low oxygen levels toward the lungs, heart, and brain, where oxygen is needed. Compared to terrestrial mammals, baleen whales have twice the concentration of red blood cells and up to nine times the concentration of the oxygen-binding protein myoglobin. Myoglobin and red blood cells store oxygen and provide tissues with oxygen while the whale dives.