Liz - the first place to look for your g grans first husband is the Marine Deaths index (assuming he died after 1837) - it can be searched in person at the FRC in Islignton London, or it is on line at findmypast (pay to view) though ancestry dont have it.
The death cert may be quite helpful as will hopefully give the ship he was on etc (I have the death cert for my other rellie that drowned - his ship, the Niphon, went missing round Cape Horn in June 1881) It also gave the ships official number, which I understand is useful in finding out more about the actual ship from LLoyds register (not sure of proceedure on that, my brother did it, but they do have a website which i am sure would advise)
Of course, if it just family rumour that he died at sea, it might be worth looking for a 'normal' death for him first, to rule that out!
Lizdb