I'm sure I don't know enough about it, and the state of the water is likely a factor as well. But there have been reports of improved mpg with (a very well tuned) water injection though.
WATER INJECTION WIZARDRY
Of course it is not at all the same mechanism as HAI or high altitude driving. I think it is more akin to that 6 stroke thing that squirts water in on one of the strokes (it is basically %50 steam engine).