It is theoretically possible that water can help insulate a person from the force of an explosion, with the television program "Mythbuster"' demonstrating that diving underwater can lessen the shockwave impact of certain types of explosions. Water at depths of more than 5 feet may only be effective protection against smaller explosion caused by common explosives such as gasoline. "Mythbusters" demonstrated that explosions caused by more powerful forces are likely to be able to send harmfully powerful shockwaves through even several feet of water.
There are a variety of factors in play when determining how potentially harmful an explosion can be. Explosive force and distance from the force's epicenter, for example, are factors in determining how badly that explosion can damage a person's body. There are a variety of factors that cause injury as a result of an explosion, and in water, those factors can be compounded by things such as the motion of the water surrounding the explosion, which can be turbulent and physically damaging to a person. So, while it is theoretically possible that water can help save a person from an explosion's impact, underwater or not, it is best to be as far away from an explosion as possible.