You can get pregnant if you have unprotected sex, no matter where you do it.
If a penis is in a vagina, then it really doesn’t matter what’s going on anywhere else. Warm water, cold water, chemically treated water – none of these will make a difference. You are just as likely to get pregnant during sex in water as during sex out of water. Granted, if a man ejaculates into the water, it is pretty unlikely that the sperm will find their way into the vagina and up to the egg. Moreover, if the water is hot enough or treated with enough chemicals, the chances are much better that the sperm will die off long before they even have a chance to get close to the vagina.
But never say never. If there are living sperm and living eggs around and some way for them to get together (no matter how unlikely), you can get pregnant.