Alright, I have domestic orca now. As Tirion said training parents is unneeded, moreover it's outright harmful for the purpose.
You see, animal child becomes domestic immediately after it receives training. And if it's born from trained mother you can't train them in cage.
So here's setup:
I'm keeping wild momma orca in a single tile reservoir and when babies pop out I open the door to trapped and flooded tunnel.
Momma used to be trained, so she's trapavoid now, furthermore she isn't interested in leaving her initial tile anymore.
Kids don't move around much either but still some of them get caught, also stray 6/7's move them around quite a bit for additional catch.
After all traps are triggered, I close the door and open floodgate for dwarves to reload the cages. Specimen are stored in nearby stockpile.
So, I wasn't in a hurry to retrieve last batch of offspring and as a result I got a mixed group of grown up and child animals.
I've just assigned them all to be trained and forgot about them for some time. A couple of mature females have given birth while in cages, so I've decided to wait and see if they'll get domesticated while in cage they did not as of now. Trainers just wouldn't schedule trainings for them. So now I have three semi-wild orca calves.
And then there's Nikki, a domestic killer-whale.
I've noticed her when selecting a test subject for yet another unsuccessful attempt to arrange a comfortable meeting between a dwarf and an orca.
She's alone in her cage. She's older than the cage-born calves. That means she's the daughter of the momma orca and received her first training shortly before becoming adult.
Then I've run second test with next bunch of calves, and yes, being trained while still a child is all that needed for domestication.
Renaming and viewing is done with dfhack.
I haven't succeeded with training zones yet but maybe large predators will be aggressive enough even without training. If not I'm going to wait for some fish that actually values its life first or do what Sutremaine said. They'd still need [trainable] tag added to them anyway.