Chances are you'd hurt the performance more than help it.
The added surface area of the fan shroud would probably hinder flow and hurt performance. Besides, the fan only comes on when the engine gets above a certain temp (about 3/4 of the way up the temp gauge).
I've been into watercooling for PCs for a couple years now, and the thing that makes the biggest difference in cooling is the heat transfer from the thing you're cooling and the coolant. That would mean that you could go into the block and mess around with the coolant jacket, but that's rediculous.
You can get marginal gains by improving the radiator and increasing flow rates through the block. Other than that, the majority of the inadequacy of cooling is due to design in the coolant jacket. Mazda didn't need more cooling, so they didn't overengineer it. Simple.
on the side note, there are two types of watercooling (in general):
one is very simlar to an automobile, which basically uses a liquid with a high specific heat (i.e. water) to transport energy (i.e. heat) from the processor to a heat exchanger (i.e. heatercore). By doing this, you can achieve a vastly larger surface area with a heatercore than with a heatsink.
The other type is evaporative cooling, which basically uses the natural energy loss during vaporization and condensation of water to drop water to sub-ambient temperatures. This is the same thing that some powerplants use for cooling.
Evaporative cooling will cool better, but is also much larger, more expensive, noisier, and higher maintenance. Conventional cooling is much more compact and slightly cheaper, but won't get the cpu as cold. With evaporative cooling, it is possible and sometimes happens that water will condense on the processor due to subambient temps on the die. However, the water can usually be ignored as condensed water is usually highly free of ions and therefore will not conduct.
In addition, water cooling is also more energy intensive. It uses anywhere from 1.5 to 15 times the energy of that used in traditional fan/heatsink cooling.