It could be that the cooling of the brain is dominated by convection through blood flow rather than conduction through the skull/fat/skin. If that's true, then

It could be that the cooling of the brain is dominated by convection through blood flow rather than conduction through the skull/fat/skin. If that's true, then the effect of water vs air would be on the whole body which still has to be maintained at proper body temperature so there would be no difference in brain temperature sleeping the same way in water or in air. If the body's temperature regulation is designed assuming that the brain is always generating too much of its own heat and doesn't need to be supplied with additional heat like the extremities do, then, it would still need to keep up that heat generation independently of the rate of heat loss to the environment.