Hmm, I saw a science show where they did that, put dry ice in a pool, didn't mention there being a problem.

Is it safe to swim in a pool with dry ice in it? - Yahoo! Answers

Actually, it is recommended to use carbon dioxide (all dry ice is) instead of using the "usual" hydrochloric acid to help clean pools?

Benefits of carbon dioxide as pH reducer in chlo... [Chemosphere. 2010] - PubMed - NCBI

I can't see myself importing/getting all that dry ice to begin with though; I hate when I get meat or something in the mail that is packed with it and you have to wait until it dissipates, etc.