Is there more diversity in marine species?
I know that marine habitats have a higher phylogenetic diversity (see also Faith 2006) than terrestial habitats, even though they host far fewer species, which is a result of their deeper evolutionary history. Unfortunately, I cannot find a good reference to this claim right now (see http://biodiversity.europa.eu/topics/ecosystems-and-habitats/marine for some support though). 

I wouldn't really call the difference in species numbers a paradox though, since speciation rates depend on habitat complexity and dispersal rates (which are generally higher in marine habitats). In either case, the knowledge of marine habitats and species living there are much poorer than for terrestial habitats, so differences in species numbers are highly tentative.