At-least in small-scale boat water making setups, the limitation is energy use of the pump. If you put it deep underwater, do you not remove the need to even have a pump, thus it will require almost zero energy to operate?
it seems that you would remove the need to have a pump to build pressure, but you would still need a pump to move the product water ( perhaps creating the negative pressure on the outflow side of the membrane in the same step )
Way less energy, apart from the challenges of operating at depth. There would be power delivery constraints, and the basics of plumbing.
