Didn't the aurochs (the wild descendent of today's cows) roam over great distances in herds; and I suspect the wild fowl that chickens, ducks, &c. are descended from were migratory.
As such, I wouldn't rule out domesticating whales. If they can keep them penned up and keep them from dying, they can probably turn to breeding them for certain traits (or genetically modifying them).
Though vat-grown whalemeat from donor cells would probably be more practical.
The Japanese seem to have forgotten that Minke whales are a migratory species...