Clue #1
Captain Orangebeard is a Mudskipper (an amphibious fish that can live on land and underwater).
Clue #2
Fish started hearing noises from the hut inside the Seaweed Forest around the same time that the Coral Jungle Gym was built.
Clue #3
There are holes in the bottom of The Sunken Ship that are the same size as the Salty Bubble Holes.
Clue #4
Grumblefish are always trying to find shiny treasure, and it's said that they know more about the Underwater Volcano than any other fish.
Clue #5
Captain Orangebeard wanted to bury his key deep underground, and needed the help of builders to do it.
Bonus Spoiler Clue (Only Read in Dire Deep-Sea Detective Need)
The first fish to use the Coral Jungle Gym saw a small patch of freshly moved sand with an orange hair on top.