Aside from the reason Ham_Taro mentioned (which is true), and your own excellent theory about the water calling the whales home, IMO it's also because of the weightlessness of being immersed in water. I don't like water or swimming much, but late in my first pregnancy I went to my community pool every single day because it felt so good to not have the weight of that huge belly anymore, to be able to lift my knees up to waist level without falling over, to float on my back a bit without feeling crushed by baby and to have my back stop aching for a bit. Lots of heavily pregnant women become regular pool-goers for that reason, so I imagine it's the same for fats. I don't believe I have been in a pool once since that time, but seriously, for about two months there I went every single day, and stayed for at least an hour each time. (I stopped going at about 8.5 months, because I didn't want to risk having my water break or some equally icky sign of beginning labor happen while in the community pool. I ended up being induced, but I'm still glad I played it safe in that regard, because I'm a normal human who thinks of other people, not a selfish deathfat who will happily force strangers to swim in a stew of their fecal matter, smegma, and dead flesh.)