That sounds so fun! We would have a blast with that theme.
Here's what my sons and I do for their birthdays. About a week ahead, we start having craft time to make decorations for the party. I try to think of things they can do, like my son had a planet party, and I let him trace plates on construction paper, then cut them out draw on them to make them look like planets. I also cut out stars and a did a few planets myself so we could tell what the rest of the circles were ;) I let the birthday boy tape them all around the eating area where we'd be having cake.
Here's what I would do, mostly with construction paper. If you cut swirls out of blue paper (especially a few different shades), then tape one end to your ceiling, they hang down and would make it feel sort of watery. I'd also cut out some sea stars and tape them to the ceiling or walls, some tall sea weed to the walls near the baseboards, etc. This is mostly ocean or underwater so far. I would also go to the dollar store and get a big sheet of foam board, then draw or print out some fairly large Orcas (18") and glue them onto it. Cut them out and hang them from the ceiling with string, so they're "swimming" through the blue dangling swirls. I have a hot knife that makes cutting out the foam super easy, but I guess you could do the same thing with posterboard, too, and it would only require scissors. Make sure you flip your image and glue it on the other side so they'll be double-sided.
I would also get a blue table cloth. We decorated a $1 plastic table cloth with star stickers for my son's space party. You could just tape on some seaweed or sea star shapes, but those tend to get caught and rip off. I think the dollar store has some seashell wall stickers that you could stick on, too.
If you want balloons, paper plates, napkins, etc, I'd go with blue, especially if they have light and medium blue, those would look great together.
I don't know what you usually do for a cake, but I'm sure you can hand a bakery a print out of the same Orca you used for decorations, or they may be able to draw one themselves. If you make your own, I suggest buying black frosting. It's terribly difficult to make black yourself. Or you could make a blue round cake with seaweed/shells around the sides and get a small plastic Orca toy to set on top. If it could be leaping out of the water, even better! Ooh, that's what I would do. And I'd use crumbled vanilla sandwich cookies for "sand" all around the bottom edge of the cake.
For invitations, if you know how to use a graphics program on the computer, you can design them yourself and print them as 4x6 photos. I'm sure you can find Orca stickers somewhere, too, and use them to decorate index cards or plain cards for invitations.
This is such a super fun idea! I think my boys would love it! I just might suggest it to my 6 year old for his next party!