For outstanding scenery and coast, I'd also choose Skye , with Harris/Lewis - which also gives you the chance to pop over to Berneray and North Uist potentially also which are very different again.
Shetland is more rugged and scenic than Orkney which is largely flattish farmland though with some fine coastal cliffs (though not on a par with those on Skye or Mangersta on Lewis.)
Harris is outstandingly beautiful and given your comment about wanting to enjoy natural beauty, those islands I've listed have it in spades and yet are all very different. Your issue, especially on Harris , may be in finding the accommodation you want at this stage.
It doesn't work with the day tour from Oban but from Mull, you can do the add on boat trip to the Treshnish Isles which is outstanding for puffins - they are virtually around your feet.
Shetland's Sumburgh Head is very good too, though not with anything like the same numbers but of course, you can easily see them from the roadside. Delightful!
There are some excellent boat trips from Skye - from Elgol and Portree itself - which have a good chance of dolphins and various whales; Minke mostly commonly but also humpbacks sometimes feed in the Sound of Raasay. Occasionally Orca but they are perhaps more likely between north Mull and the Small Isles.Always keep a lookout too when on the various ferry crossings!
The family last year going over to Staffa had the joy of a school of dolphins swimming near the boat.
Sea eagles are fairly common too.
Skye, Harris, Lewis and Berneray/N.Uist offer world class walking and certainly some of the finest virtually deserted white sand beaches you will see anywhere.Glorious.
The great thing about all the islands is that they tend to be breezy so midges can be less of an issue as a smidgin of breeze keeps them away.A still, calm evening however and out they will come though keeping on the move simply by walking tends to leave them behind.