Shame has a significant role in the creation of many artefacts concerning sex with fish from the classical period.
In this coy Roman nude (veined Marble, 100-130BC, Apulia) in the Ashmolean Museum, we see Venus attempting to cover her nudity after being surprised in the act of sex with a fish. The fish has been represented as a dolphin, probably in deference to the prevailing morality. Dolphins were considered by many Romans, particularly those in the southern provinces, as people who had been chosen by Posiedon for sacred duties.
Consequently, what was commonly known as ‘riding the dolphin’, in which women might take advantage of an aroused captive male dolphin, was not such a source of embarrassment as it may be in modern society. In practice, however, this was rarely done. Dolphins were difficult to keep in captivity and to be responsible for the death of one would draw the wrath of Posiedon. No such consequences were attached to sex with fish, just a certain sniggering stigma. Hence the replacement of the fish in this particular statue: a residual shame still clings to the penitent Venus.
For an immortal, it would be perfectly acceptable to claim that one had, once again, fallen victim to the shape-shifting subterfuges of Jupiter who, as well as adopting the forms of bulls, swans, golden showers and the like, could presumably have his way with an unsuspecting goddess in the form of a fish or a dolphin.