Hi Lambis
I've never done this type of photography, but looking at these images from zena the lighting could be coming from external rig's place above the water as the shadows in the second image show that lighting may well have been from above and then fill flash added just to enhance.
As for the black backgrounds, It could be as simple as a fast shutter speed manual exposure , But i wouldn;t put it past zena to use a weighted black canvas as the backdrop, much as a studio would use one.
if i was going to try it , i firstly give it a go with 3 strobes,
2 strobes based as slave units way out to the sides of the model so that light was cast side ways into the subject, and then using a unit attached to the camera for the trigger just as a slight fill in.
For a totally professional job then i'd be rigging up external above water lights and add a little underwater.
All just my opinion of course, Never done it , but i wish you the best of luck with it, love to see what you manage to get.
as most of your work tends to be with free divers you model shouldn't have much of a problem holding her breath !! 
regards
Craig