Aren't they supposed to be whales that swim (fly) up and down high hrothgar

Because: Dragons.

We must pick our battles, unfortunately, in regards to the more fanciful aspects of the Lore. Little head-nods to the Aldudagga existed in the form of whale sigils in Nordic barrows and the Whalebone Bridge in Sovngarde, but one has to take obscure texts (Read: most of MK's works) with a grain of skooma, or risk being monumentally disappointed while playing the games.

Could also be that they got swept up in the massive Cliff Racer exodus of 3E430 or thereabouts, as an unintended side effect of St. Jiub's miracle.