i tried bits of this when i decided to introduce aquatic versions of elves, dwarves, humans, goblins, and kobolds to the game. had hoped to have them work underwater, since the cities were built there. no luck at all. even fully amphibious 'dwarves' refuse to get in the water for any reason. and if the tunnel they're digging gets flooded, they scramble for the high ground like those that can't breathe underwater. i was disappointed
i'd also gone through and modded absolutely every fish to be pets, the vermin ones included. had a huge option of pet fish to begin with. did my embark with nearly all ocean, so i'd be close to the water...all the fish air drowned pretty much instantly. sad days, sad days. the only good news was the airdrowned vermin fish (once got them out of their cages...had to dump them to get 'em out) counted as fished up food, so those could be eaten, at least
what you may want to do is have the cage built right next to where you want to pit the shark, maybe build the kennel right next to it, war train, then pit straight out of the cage. just make sure the sharkpit has 7/7 water in it! and pray it works...i honestly wouldn't be surprised if they airdrowned even underwater because of touching the air briefly. i had fish drown...not airdrown, regular drown...after taking them from a cage and dropping them into a glass terrarium full of water...