@Dave
British 14" shell falls at 18.2 degrees and 476m/s at 18km. I don't know how it is affected by entry in water. I suppose it loses the windscreen, maybe also the cap, and it's fuze is activated by the sudden decelration caused by changing environments (from air to water density).
Not much. The key here, IMHO, is the way the body of the shell behaves once inside the water. Does it change it's trajectory much ? Does it tumble ? How much velocity it retains ? How fast does it lose remaining velocity ? Etc.
With that not resolved, I move further to fuze delay. As Mostlyharmless posted above, typical British contemporary fuze was 0.025s , a rather short fuze compared to contemporary practice.
Making a wild supposition (compounded suppositions in fact), and considering:
a) shell loses 50% of velocity immediately after entering water, and does not lose any more meaningfull velocity before explosion.
b) shell is not deflected in any way and retains 18.2 degrees declination
c) fuze functions and explosion occurs at exactly 0.025s after entering water plane
Then, the explosion would occur after only 5.95 meters inside the water.
Using this Bismarck amidships section as quick reference:
http://www.kbismarck.com/proteccioni.html , and remembering that , amidships, the battleship was 36meters wide (for scale), we quicklly realize that, in this proposed scenario, even Bismarck's belt SHOULD be enough to stop the 6meters-long trajectory, BEFORE it reaches the 45mm bulkhead.
This probably means that the shell had a very lucky trajectory, that allowed it to pierce the outer skin, and explode immediately after that, so NOT in contact with the 45mm bulkhead, but 2-3 meters away from it, producing damage through shock of blast transmitted through water.
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IF that is correct,
then in the case of H39, with the belt going ~ 1 extra meter below the waterline, the shell would require to travel ~ 18meters in case of actualy reaching the bulkhead, requiring a fuze of 0.075 s at the velocity proposed above.
It's more unlikely... not impossible... but just more unlikely...
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IMHO , it is an open case and , consdiering the impredictibility of underwater trajectories, almost anything can happen.