You can teach your Pokemon to dive with you. Some learn to naturally, but most need to be taught. There is a person here at the research centre who teaches Pokemon hot to in her off hours. I've taught most of mine to, but still, even with an oxygen tank, there is only so far down you can go before it starts affecting your health. Which, I am afraid to say, is still very far off from how deep a Wailord or other pokemon can dive.