In one of the pre-release trailers for the game, one of the protagonists is seen diving a submarine among what appears to be the sunken wreckage of large crane and an industrial building. After the release of the video, many players immediately assumed that the underwater wreckage was a sunken city.
It is highly unlikely that the ruins shown in the trailer are of a sunken city, as it would be foolish of Rockstar to give away such a big Easter egg that early. The whole purpose of an Easter egg is for the player to find it on their own accord.
Upon further investigation, the underwater city was debunked as being false. The "city" is actually the wreckage of a freighter located to the east of East Los Santos. The possibility of a real lost city in the game underwater remains highly unlikely.