If you place water in the Nether, the water will typically evaporate. You can enter Creative Mode to get around that limitation (though you won't be able to update the leaderboards or unlock achievements in that world). Once you have accessed that mode, enter the Nether and place an ice block on your hotbar. Now you can wait for the block to melt and turn into water. That can take some time, but you can speed up the process by placing torches or glowstones nearby.