I discovered this accidentally and tried it again to make a screenshot to share with you (yes, I wasted a sheep). As you can see in the screenshot below, the explosion underwater came from a exploded sheep. How? It seems you can explode the sheep normally as if it were ir air. Until a future fix, you can test this by yourself every time you try.

If you throw the sheep toward the water, it'll sink, but it can still be exploded manually as long as it isn't out of the screen. This seems a lot weird in my view because in every other previous Worm game when the sheep falls into the water the player will lose its control immediately. Therefore, this is a glitch.

What may seem nothing that a problem for some people, it is so a a problem because I'm pretty sure that Team17 didn't plan to make the sheep able to explode underwater based on its previous games.

This glitch can even benefit slow players, imagine the following situation: a player were too late to detonate its sheep that were thrown onward a worm that is at the edge of the island, though the sheep falls on the water afterward, the sheep actually exploded under the surface, just a little bit under the surface. In the previous worms games the explosion wouldn't even occur, and the player would have failed its shot.

http://i.imgur.com/bed3e.jpg