To the internet! The internet always has the answer -- and it seems to for this question too. The question arose after watching this clip, which Japanese site Gigazine posted.
In the clip, a Glock 22 fires off a jacketed hollow point underwater, and a high-speed camera captured the whole thing. According to YouTube user VuurwapenBlog, there was no damage to the firearm.
The bullet, however, seems to peter out, which perhaps expands the dearth of underwater shooting in video games.