When I was messing about on an island I had put a lava fountain on, I noticed that upon firing a crossbow with an arrow loaded through the lava, when it landed in the sea it was not extinguished as I would have expected and the flame did not seem to be affected by the underwater effects, although the surface did distort the flame effect as expected.

To reproduce this bug, get a crossbow with no enchantments.

Build a pillar of lava which flows down through the air.

Shoot a regular arrow through the pillar of lava in such a way that it lands in a body of water.

Observe the underwater flame