I always dream of being underwater. Sometimes puddles, sometimes streams, sometimes lakes, but most often the sea because I'd seen more media that explored it. I had no real love or compulsion to BE underwater, it just... happened.
And no matter what I'd meet the same group of merfolk; mostly friends, some rivals, even a love interest sometimes. I'd have a fish tail too.
So yes, technically, I have wet dreams but not how most people do.