I have seen it in fanfiction somewhere and I think this should be possible. Of course, catching lightning is one thing, but safely disposing of it is quite another.
If the waterbender has to bend the water around themselves to create a full circle, then there is a danger of losing control and getting hurt. If, on the other hand, they could bend a circle in front of them, or even a vertical circle, then they could just jump away.
Was there any indication in canon (including the comics) that waterbender can (a) create a sustained circles of water and (b) redirect lightning?
Is there wasn’t, is it possible in the Avatar universe?