Use of conjunctions
In the sea, [where no one should be found yet each one must be keen as they play hide-and-seek].
The bracketed element is a supplementary (non-defining) relative clause in which the preposition "where" has the PP "in the sea" as antecedent.
Supplementary relatives are not modifiers but separate units of information, non-constituents, that have a semantic 'anchor'. Here the anchor is the PP "in the sea".
Note that "yet" is not a conjunction, but a connective adverb with a concessive meaning.