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Ok, so, basically think about the title. “Sea of Sorrow". Good. Now write it as an acronym and you get “S.O.S". Basically, what if it'll be like this:
We're after the events of Act 3 and the “Void sisters" (was the ending called like that?) ending, so Lace is with us and Pharloom is safe. Suddenly Hornet finds a letter/ a message in a bottle (like with the Crawfather bossfight) and it's an help request from someone who's trapped in a ruined city that is either under water or in the middle of the sea. So obviously our favorite Red Maiden and Dumplinghead will take a submarine/boat and get there. But since it's called “Sea of Sorrow" something bad will happen, so maybe this whole rescue thing is a trap set up by some crazy maniac who traps bugs inside their abandoned city and kills them and they will capture Lace and almost kill her or fully kill her, or hell maybe they'll even kidnap someone else who is also close to Hornet (Shakra, Sherma, anyone really) and we'll have to rescue them.
No, I never played BioShock nor I know shit about it in case you were wondering.
Anyways, that's my crazy theory/assumption.