GPS doesn't work under water either.
So you'd need to surface to get a GPS fix.
Do a search on DIYdrones submarine to find out the best way of doing what you want.
Buy an APM 2.6 or an APM 2.5 clone, they are an Arduino compatible board, with compass, gyros and accelerometers etc, plus you can attach an external GPS and external compass if needed.
You'd also probably need some other external sensors e.g some sort of water speed detector, some sort of depth gauge,as the APM barometer won't be much use, and probably some sort of sonar system.