I would avoid an over-the-top theme, but you can still go with a basic idea and go with it. I would paint the walls blue - something like Caribbean waters. Then, bring in etsy prints or photographs of fish. Also, you could do something with the yellow submarine idea. Have a port hole (DIY?) window or something similar.

Then, maybe just have Nemo be a bed pillow or stuffed animal.

A few years ago I bought a box of the Algue Screen from Vitra ($34 for 6 pieces) at MOMA - it looks like seaweed or algae in a modern and minimalistic style. You can position the pieces together in many different ways. Maybe it could go on a wall, or act as a mobile, or part of a window treatment until he's a bit older and then he can play with it too.

http://inhabitshop.com/index.php?main_page=product_info&products_id=460
This link shows the product when combined with many other boxes. Cool effect.

You can also do wall decals. These ones at blik are pretty great:
http://www.whatisblik.com/shop/wee-undersea

or for a more modern feel:
http://www.whatisblik.com/shop/explore/lucky-koi

Paint the ceiling to look like the bottom of a boat and the top of the water?

I agree with inkstainedwriter. You don't want to get too embroiled in a particular theme. (There was a three-month period when my then-three-year-old would have burst with excitement to have a Wall-E themed room. And then the fad passed.)

Consider embracing blue (water) and orange and white (clownfish) as a color scheme -- perhaps light blue on the walls, with orange accents. (See <a hre="http://www.ohdeedoh.com/ohdeedoh/color-combination-blue-orange-revisited--097720">this recent Ohdeedoh post</a> for ideas.) It's a nice color combination that can morph into a non-undersea room later.

I think the first set of Blik decals that olastar posted would work really well with this color scheme. I LOVE the porthole idea, too.