When I watch episode 2 of Volume 3, we soon learned that Nora's Semblance allows her super strength whenever she's hit by lightning. So that got me thinking about Neptune: could his Semblance have something to do with his fear of the water? What if by chance that he was hit by the water, and it suddenly causes his legs to turn into a tail?
Jaune is about the only character who doesn't seem to know what his semblance in (until just recently), so I'd bet Neptune knows his. And I doubt it has anything to do with water, or he wouldn't be so scared of it.
That said, it would be hilarious if his semblance WAS water-related.