Captain Orangebeard is a Mudskipper (an amphibious fish that can live on land and underwater).
Grumblefish are always trying to find shiny treasure, and it's said that they know more about the Underwater Volcano than any other fish.
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.