Nitrogen does dissolve in water.
Even though it is often found in a gaseous state, nitrogen can dissolve in water. No matter what physical state it is found in, nitrogen is an element that has the chemical property of dissolving in water. Water happens to be one of the most versatile solvents available in earthborn chemistry. It’s no surprise that water is called ‘the universal solvent’ because it can dissolve more substances than any other liquid.  Dissolution is an act that results in a homogeneous solution, which contains aqueous versions of elements.
Seawater and River Water: Natural Repositories of Nitrogen
Dissolved nitrogen is actually found in various water supplies. Scientists have sampled oceanic water; they have found an average of 0.5 parts per million (ppm). The concentrations of nitrogen found in river water is about half as much, or 0.25 parts per million.  One part per million roughly translates into one milligram per liter of water. While these may seem like such incredibly small numbers that they are negligible, they are reasonable values worth noting. To give these numbers further context, consider that exposure to levels of 2 ppm of arsenic or more can be lethal depending on length of exposure. 
Dissolving a Gas: Entropy is a Motivator
Although the idea may not be immediately intuitive, gases can be dissolved in water. In fact, this happens quite regularly. The reaction is aided by a quality from physics, which is known as entropy. Entropy is a quality, which describes an ordered system’s tendency to move toward disorder. When a gas, which is often widely dispersed, is subjected to enclosed conditions, pressures cause compression. Immersion into water leads to a situation wherein entropy is best served by dissolution. In this case, entropy is said to drive the reaction. Factors such as temperature and acidity play a role in determining the specific rates and quantities of nitrogen that will dissolve.  
 USGS Water Science School
Why Is Water Called the Universal Solvent
Nitrogen [N] and Water
 MadSci Network
How Much Arsenic Can Be Poisonous?
 University of North Carolina Chapel Hill
Factors Affecting Solubility