Well yes,thanks to Mata Resort that is possible, fall asleep to the gentle sound of the swell, and waking up surrounded by fish does more part of your dreams.
However this is still very recent and you only can try the experience if you spend your holidays on the island of Pemba, the coast of Tanzania. In the Indian Ocean, the Manta Resort just opened the first sub-marine bedroom of Africa.
The apartment has a bedroom submerged at 4 meters depth, and seems to have a good quality design. It is located 250 meters from the beach and offers a unique experience, but spend a night in this submarine apartment imply to make some savings. Indeed, a night for two people in this apartment cost EUR 1000 or EUR 650 for a person.
For further information: http://www.themantaresort.com/the-resort/accomodation/underwater-room/