You can use natural sea water (NSW) with out any problems, but there are some considerations.
The water needs to be collected at places where it is very clean and pure. This can mean that you need to go offshore in a boat to do it.
It is possible to collect some sediment, unwanted hitchhikers, and diseases. This can be resolved in several ways. You can store the water a few weeks before use, or you can use various methods of filtration to remove or kill anything in the water.
Before use, be sure to check the water parameters. You may need to adjust SG, calcium, alkalinity.
That's the major things you need to worry about as far as the water itself goes. The last consideration is the NSW is heavy. A gallon of NSW is about 8.6 pounds. That means each 5 gal container you collect is going to weigh close to 50 pounds each, and your going to need to lug it to you car or truck, and then into your home. That can be a lot of work that gets old fast.