Hey ! I really liked the idea of your deck and how flavorful it is. Really liked how you want to
overwhelm your opponents with deep-sea monstrosity. Although, I'm quite not sold on the
Reef Worm, which might be tricky to get to die in many situation. i could recommand you in its place
Guardian Project, which will act as a powerful draw engine at every stage of the game.
Same thing for
Thing in the Ice, because it could be really powerful, but in your deck, bouncing your own non-Horror creature is more of a blowout than in any other decks, as your creature's average CMC is really high. And your instant and soreries' CMC is quite high too, you might not activate it in two turns or less which would be really slow. Instead, I think the flavor and reward for
Quest for Ula's Temple might interest you, or an efficient card draw spell like
Chart a Course or
Divination might be enough.
On a last note, I think the Whale is a bit to light on the body and slow with its effects. If you want something similar, I will suggest you a
Breaching Leviathan or a
Shipbreaker Kraken, but my favorite would be the
Nimbus Swimmer to take care of the flyers problem and be flexible. And if you have money to spend,
Hydroid Krasis is even better in that role (always the card draw).
In this type of deck, you might also like things such as
The Great Henge (Hmm, so tasty in commander, every mana dork becomes card draw in the late game ! ) ,
Whiptongue Hydra or
Whirlwind to get down those pesky flyers (depends on your playgroup I guess).
I hope you liked my suggestions, and I also hope that you'll have great game with this deck !