When Pozzo and Lucky enter the stage, the stage directions tell us that Lucky is carrying "a heavy bag" as well as numerous other objects. We also see Pozzo holding a rope attached like a leash to Lucky's neck and whipping Lucky to make him move. Vladimir and Estragon ask themselves why Lucky doesn't put down the bags, and Estragon remarks that Lucky is "puffing like a grampus."

A grampus is a term for a dolphin. Dolphins have blowholes on the tops of their heads which they use to breathe. Dolphins also sometimes blow jets of water from these blowholes. When Estragon uses a simile to describe Lucky "puffing like a grampus" he means to convey that Lucky is wheezing heavily. He is exhaling so much air as to be comparable to a dolphin blowing jets of water from its blowhole.

Lucky is wheezing so heavily because Pozzo forces him to carry his possessions (including the aforementioned large bag), and also because Pozzo treats him so badly. Pozzo doesn't allow Lucky any rest or respite.

Even though Lucky's situation is undoubtedly very sad and tragic, the simile comparing him to a "grampus" is deliberately hyperbolic, and comedic. In this way, Beckett creates an interesting and at times disconcerting tragicomic tone, inviting the audience to at once sympathize with and laugh at the unfortunate, and ironically named Lucky.