Does deep water have any effect on buoyancy?
Yes altitude affects density(and thus buoyancy) although it is very minimal for liquids and solids. As you go deeper, the balloon will gain density faster than the surrounding water (a gas is greatly affected by pressure while a liquid will see nearly no variation in density), thus it has less buoyancy and the force moving it upward will be less. The balloon would be crushed, a submarine that goes too deep is crushed like a soda can, the same will happen to you balloon, air will probably exit from the hole tho preventing a pop, but it depends on how fast you are losing altitude and how tightly it prevents air from getting out.
In respect of an air- filled balloon, yes. The problem is that to inflate the balloon at depth, large air pressure would need to be used. This has 2 effects: 1) The compressed air in the balloon is heavier than the same volume of air at atmospheric pressure, so more air volume would be needed to provide lift; 2) Because the air expands as the balloon travels to the surface, the balloon will also expand, and possibly burst. The better way would be to use an inverted bag, not a balloon. That way, the air can be trapped under the bag, and as the bag lifts the whatever higher and the air expands, it fills out the bag, then spills air outside of itself, alleviating the pressure from expansion as would be the case with a balloon, but still displacing the necessary volume of water to provide lift.
