It takes air to play woodwinds and brasses, yes, but not percussion or strings. And sound travels faster and further underwater.
It travels further, but the sound of a string underwater would be dull and not make much noise because a string vibrates and vibration underwater would slow it down to nothing fast. A percussion would also be limited to the sound it makes. Metal on metal would travel the furthest and pretty much sound the same above or below the water.
Probably we would use some shrimp here and there and rub them together. Like Eek eek. The shrimp would co-evolve with us because we would selectively breed them to make loud "eek" sounds when we rub them together. Then we would come up with something for the percussion like nuclear-powered drumsets except the sea elders would not like it because it is very loud. We will not be so respectful of elders in this society because they live to be 300-years old and we get tired of them just bumming around and eating all our fish.
There would be like an underwater Madonna later on and she is rubbing her sea-boobs and stuff and kissing turtles and whatnot. Then she is like, anyone who says they don't wanna have sex with a turtle is turtlephobic.
Later they will be an underwater university and the sociology professors would teach their underwater students that some people have more water than others. Then they are like, "OMG, 1% of people have like 99% of the water!" Then there will be a rebellion except that the people who own all the water will travel to land and later to outer space while the rest of the people are like, "Well, what happened to the food? What do you mean we have to get food by ourselves?"
Then there will be an underwater communist dictatorship. The ruler will be trying to help people who don't own the water to own the water but they are like, "Derp, duhhh, huh?" And so he will own all the water. Then he is getting tired of all the people so he kills half of them. In the process, he finds that he can make pretty sounds through his anus if he clenches really tight before he expels the air. It is like a muffled whistle sound.
Well, that's all that I can foresee. It is hard to accurately envision alternate realities that branch so far back in our evolutionary history.
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