No, when they drown. Exhaust your mercs a bit (but not so much it triggers the "I ran out of breath" type of message) and then ask them to swim until they run out of breath.

Nah, and don't remember if it happens in Deadly Games, but it certainly could happen in Jagged Alliance, but mercenaries have a line they say whenever you order them to go somewhere but all exits are currently blocked. It's hard to trigger and it typically happen when you order of your mercs to move all at once in real time mode, and a bottleneck happens around a door.

Also, mercs have a unique line when they fail to merge explosive and another one when they fail to mod a gun or sneak. For example, Bernie says "It's harder than it looks." or some such when he fails to merge explosive, but a "Now, had you asked me to do a prostate exam..." or some such when he fails to merge guns or sneak. The same thing happens when the gun they're using goes from normal to jammed, and when it goes from normal to useless, they have two different lines for these situations.