from the book " A Clash of Kings"
"A memory prodded at Theon. in one of his rare curt letters, Lord Balon had written of his youngest brother going down in a storm, and turning holy when he washed up safe on shore. “Uncle Aeron?” he said doubtfully."
...
“Young I was, and vain,” Aeron Greyjoy said, “but the sea washed my follies and my vanities away. That man drowned, nephew. His lungs filled with seawater, and the fish ate the scales off his eyes. When I rose again, I saw clearly.”
So its not some kind of baywatch-like ritual.
(and there are mor examples where drowning changed a person completely)