I think Datto mentions that the best Blitzball players can even sleep underwater. Clearly, they have improved their lung capacity to where they can function underwater and exert themselves. I wouldn't be surprised if we just don't see them "surfacing" in case they get hit too hard and drop their breath. While I call bulltrout on sleeping underwater, after seeing those crazy free divers on Youtube, I have to say that it is very plausible.