Is the Universe a sphere with water or ice surrounding its' confinement? Are there any theories that imply the Universe being confined within a sphere of water/ice material?
No. The universe is not a sphere with water ice surrounding it.
Asking about "outside the universe" is akin to asking about what a candle flame is made of before it is lit. Just because you can put the words together doesn't mean the question makes sense.
The universe is "all that exists". Nothing can exist outside the universe, because then it would exist, and if it exists then it is part of the universe.
It is probably best to imagine the universe as stretching infinitely in all directions. This is not the only possible topology of the universe, but it does help to avoid visualisation of the universe as being like a "sphere" with something outside it.
It's very difficult to answer a question "Are there any theories ...." in the negative, since if nothing else, the questioner has probably just formulated such a theory. I can say with reasonable confidence that no such theory has any traction or credibility in any of the communities of research and scholarship that consider such things (astronomy, cosmology, etc.). Most of the theories I am aware of have the universe unconfined and without boundaries, although possibly of finite extent.
Some consider the possibility of "domain walls" -- two dimensional surfaces that are vaguely analagous to the boundaries between crystals in a solid -- the fundamental structure of the universe has "crystallised" differently on the two sides.