I tried to find out where the ball entered by playing the hole over and over - usually it took me to the front of the tee - but this was from the shortest teeing ground.
Having said that I agree that the shot should not be from the sand. When a ball enters the Water Hazard you usually have three options.
!. Stroke and distance by playing from as close as possible where the original shot was hit OR
2.Drop behind the water hazard , keeping the line where the ball crossed directly between the hole and the drop point - no limit of how far back you go OR (and I think this is the case)
3. If the ball crossed the margin of a Lateral Water Hazard. drop outside the hazard within 2 club lengths not nearer the hole than the point of entry or a point on the opposite margin of the water hazard equidistant from the hole.
If it is a lateral hazard as I think must be your case then #3 comes into play as it depends on the point of entry. However as I seldom play competition golf these days I could be incorrect.
However I have never seen a course that does not have a drop zone for such cases (under the local rules to protect the course) and would be interested to get Pizza's clarification on this.