People do it successfully. Even the water you buy at Petco is natural seawater that they have packaged. But to do so, you have to try to avoid polution, parasites, so on. To do so, people collect their water at high tide. Once they do this, they run the water through UV sterilizers for about a week before using it for water changes.
In my opinion, it is more work to get natural seawater going than it is to mix together some RO/DI and salt mix of my choice. That and then you can get increased calcium and such for a tank heavily stocked in corals.