Tappi-Kaitei Station is technically underwater. It is a station in the middle of the Seikan Tunnel, a sea tunnel which connects Honshu and Hokkaido together by Shinkansen.
The train station is underground, and used to serve the local town before its upgrade to Standard Gauge. There is a tunnel museum in it now, and it is also used during emergency evacuations to the surface. Not all of the station is underwater though.
Cité on the Paris Métro M4 is built under an island on the Seine. As a result, some of the platforms are underwater, but the entrance is not.
Museuminsel on the Berlin U-Bahn U5 (currently under construction) will be located under the Spree, however, the entrances will lead to both sides of the river and also the Museuminsel itself.
Underwater train stations are mostly always train stations which serve islands, usually river islands. The platforms will be underground and underwater, but the entrances will always be on land. Tunneling under rivers or the sea usually isn't so hard as to prevent the construction of stations under the river or the sea, but the problem will be, what will the station serve? Ultimately, if the train station doesn't serve anything, then it's pointless. But if it serves something important, like an island, then that makes sense. No station will 100% be underwater.