While it is extremely unlikely that a woman would die from having sex in water, the potential for damage does exist. The worst case scenario is that there could be some internal damage done to one or more of a woman’s reproductive system. While death would probably not occur unless other unforeseen circumstances came into play, damaging these organs would not only be quite painful, but it could also prevent the woman from having children in the future.
There are also other reasons to avoid sex in water, if you’re talking about a pool, the chlorine can cause some irritation to a woman. Chlorine is not the best stuff to have on your body, let alone in it. If you’re talking about fresh water, there are other things that can cause problems as well. Bacteria and other little tiny life forms may end up somewhere you don’t want them to be. While this is unlikely to cause any significant problems, it’s still not something that sounds like fun.
The risks are low, but they are still there.