Our local theater did the entire underwater scene under black light w/ specially-painted puppets.  Here is a picture of the whale- http://zamphotography.com/photos/rlt/2006-2007/pinocchio/pag es/Pinocchio-033.html

I wasn't involved in the technical aspects of this particular show, but maybe the photos will give you some ideas.  Good luck!

We did this show a couple of times.  The last time we actually constructed a whale from an old set piece (a giant boot from "Babes in Toyland".  To simulate being inside the whale, we made a giant whale mouth, top and bottom were seperate pieces and operated by deck hands in black, so that they could open and close - we painted fish on the stage in black light paint and then had giant foam fish puppets and an octopus come through the theater.  Our costumer constructed the fish and octopus puppets and did a great job with ours.  The kids loved them.