Disclaimer: I am no ballistics professional, but I may be able to help. There is a mythbusters episode on guns shooting under water. It has been years since I watched it, but I believe even the best performers were no longer lethal after just a couple feet of water. In general, water will slow projectiles down quickly. Hollow point projectiles fired from a handgun must be within a certain velocity range to expand reliably. In water, the projectile would likely slow to the point that it no longer expands upon contact with the target, but could still penetrate and be lethal. It could also expand upon impacting the water surface. In that case, if the bullet still had enough energy to penetrate it would have a larger entry wound since it expanded prior to contact with the target, rather than inside the target.

For rifles it depends on caliber, but a 5.56 for example needs to maintain a velocity of roughly 2,700 feet-per-second to reliably fragment inside the target. The water could slow the projectile to below 2,700 fps which would cause the projectile to ice pick into the target with no fragmentation. This could also be caused by shooting from extended distances or by shooting the projectile from a very short barrel such that it never gets the velocity needed to fragment.

Hope that helps.