I'd just snag some off the asteroids being mined to supply all of the other construction materials.
Plenty of water in space! One of a few things you don't need to bring from home- just mine it up there
Water mined from the moon might be much cheaper by the time something like this is built. That being said, a giant sterile swimming pool seems like an odd feature for an interplanetary spacecraft. I'd rather see a well-balanced aquatic habitat, if anything.
or capture a small comet!
It could very well double as emergency reaction mass/ring weight trim/liquid radiation shielding/source of drinkable water and oxygen. :)
Rounding error on the other costs involved, but sure.