Wouldn't they be grey, like storm clouds?
I don't think so. If the reason that the light is unattenuated is that it travels through so little water, it should in principle be possible to make it bluer just by increasing the amount of water—in other words, make a thicker cloud layer. The problem is that you would have to make the sun brighter to compensate for the darkening effect, which might not be very realistic in practise.
The reason I asked is just to see if I more or less understood the idea.