Whats the effect of pressure on water electrolysis of sea water with increase in depth?
The higher pressure itsels doent make it much more difficult. But...

For water electrolysis you need high overpotential, preferably large electrodes with small electrode gap between them. You want clear, filtered water and no fishes electrocuted, burning down the whole submarine due to an accidental short.

And you will need plenty of gas for buoyancy control, especially at $200{-}1000\ \mathrm{m}$ depths, therefore you need a lot of electricity:

According to Faraday's law $$m=(Q/F)(M/z)$$ where $F = 96485\ \mathrm{C/mol}$ you can make like $4.5\ \mathrm{l}$ of hydrogen gas (1 atm, 25 °C) with a $10\ \mathrm{A}$ current in 1 hour! That is like $0.04\ \mathrm{l}$ at $1000\ \mathrm{m}$ ($100\ \mathrm{atm}$) of a potentially explosive gas.