The question came from a Facebook group, where nobody apparently had an answer. What complicates the question considerably is that water has very different acoustic properties than we're used to, most notably it doesn't compress the way air does. Some musical instruments like percussions or the violin (https://www.youtube.com/watch?v=0Gb5uetWE3w) work well, while wind instruments generally don't. My gut told me that free reed instruments could work too, but this wasn't at all obvious.
Naturally, I did what anyone would do, and filled the largest bowl I could find in the lunch room with water to try it out!

My finds were not conclusive. If you have air in your lungs, making bubbles through the harmonica will produce notes which can be heard by those around. This was the easy part and the results were expected. Much more interesting, I think, is the question of playing a harp without blowing air into it. Filling my mouth and the harp with water, and submerging my head enough to listen under water, most of the time I heard nothing. Sometimes it worked though, or at least I thought I heard a tone. There might have been another source of the sound I heard, but I think it was actually the harmonica.
I have two hypotheses:
1. Maybe you need to get the sound going first, similarly to when you hit an overblow or when sounding a reed that easily chokes.
2. If there are some tiny bubbles of air inside the chamber, these might act as cushions which makes the water in the chamber compressible enough to allow the instrument to work like normal.
Has anyone else tried this before, or have any intuition as to why or how it should or should not work?
Of course it's a silly question without much immediate connection to normal playing, but except for being sort of fun I think it might be a good way to exercise ones understanding of the physics at work when we play.