Whales breathe air and when their warmed lung air hits the cooler air above the ocean, a fine mist/vapor is created. So their “blow” or “spout” is not water, though some droplets may be present on the top of the closed blowhole and get sprayed as well. Here’s a great photo by Carla Mitroff, an Orange County whalewatcher and nature photographer, showing the characteristic “heart-shaped” blow of a gray whale as seen on a calm day and viewed from behind the whale.