Step 1: Understand the idea of skin as a respiratory organ.
Some animals can exchange oxygen and carbon dioxide directly through their skin, without relying only on lungs or gills. This is possible when the skin is thin, kept moist, and has a rich network of blood vessels close to its surface.
Step 2: Apply this to the frog.
A frog has thin, moist skin that is packed with tiny blood vessels lying just under the surface. Gases can pass easily through this skin, so the frog can breathe partly through it. This type of breathing is called cutaneous respiration, and it becomes especially important when the frog is underwater or resting, when its lungs are used less.
Step 3: Rule out the other animals.
A cockroach breathes through small openings called spiracles on the sides of its body, which connect to a network of tubes called tracheae, not through its hard outer covering. A shark is a fish and breathes using gills that pull oxygen from water. A whale is a mammal and breathes air through lungs by surfacing regularly, and its thick skin and blubber are not used for gas exchange.
Step 4: Final answer.
The frog is the animal in this list where the skin acts as a respiratory organ.
\[ \boxed{\text{Frog}} \]