I believe that if you tie the knot wet with just about any kind of rope it will be as tight or tighter than if you tied the same knot with dry rope.
That having been said, I don't like to tie knots for lanyards that I can't untie if I want to. A simple figure eight knot is very unlikely to come untied if you use it on a lanyard, and you can untie it pretty easily when tied in para cord sized line.
I usually tie my lanyard into a hangman's noose fob to keep it from dangling and snagging on things. Then if I end up in a situation where I'm using the knife over water or someplace elevated I can untie the fob and use the cord either for a lanyard or to tether the knife to my belt. . . The length is usually a bit short for a tether, but works alright unless I really have to reach to make a cut.