Does this count? ;)
I seem to recall a tabloid headline or two about ghosts being seen or heard during early dives on the wreck. I imagine the sheer expense and danger of diving down there is what keeps those silly ghost hunting shows away.
I've seen a few haunted ghost ship movies over the years, but never a haunted shipwreck one. It would be hard to do without coming off as "The Abyss" with spooks.