I tried this once, a long time ago. Unfortunately the dwarf has to be standing on the same tile as the animal he is training. The sea creature must be in water at least 5/7 deep to avoid air-drowning, while the dwarf can't take a job in a tile that is 4/7 or deeper.
I tried making a large pool with half the tiles 3/7 and half of them 4/7, but the creatures died in 4/7 water. I tried making a pool with half the tiles 4/7 and half of them 5/7, but the trainer would never initiate the task due to the dangerous terrain.
Eventually I worked out a system where I assigned my legendary trainer to a tiny burrow covering only two tiles, the one-tile training zone/tank where the sea creature was, and one tile of dry ground for the trainer to stand on. Then I locked the door to seal them in together. Then I quickly pumped out the tank. Sometimes the trainer would get the "train animal" task before the creature air-drowned, but usually not. Occasionally, he even walked over to it in time to stand on the same tile as it while it air-drowned. The results were always the same, I don't think he was ever fast enough to actually initiate (let alone complete) the training before the creature died!