Yeah, too deep to keep watch over I think, unless they went for air in shifts. There's also the issue that if you're on land, gravity means you don't need an airtight container to cook/smelt/etc. But underwater it would be hard to prevent things from leaking to the sea.

I think mermaids could do fish kebabs over a gas vent (though they'd lose a lot of food), but they couldn't use it as a kiln.