According to what we saw in "Caretaker" the Kazon-Ogla who were living on the Ocampa planet had problems with finding water. Neelix too did seem to have that problem. Now, that looks and sounds a bit strange because there would always be a chance to find ice in space, at least on some planet nearby. They did have spaceships of rather good quality after all.
But there's a possible explanation for that problem. If we look at the Ocampa system, Ocampa is the fifth of six planets. According to the book "Star Trek Roleplaying Games, Aliens" which is the only source of information about the Ocampa system, except for the official Star Trek sources, the Ocampa system is the sun Caeleron plus six planet, five smaller ones plus a gas giant. The four inner planets are to small, hot and rocky to have any water. The fifth planet which is Ocampa has no water on the surface and the sixth planet is a gas giant, apparently without moons, maybe some small rocky asteroids orbiting it but in that case they are too small to contain any water or ice.
We can also assume that the wars and conflicts between the Kazon sects has made it very difficult for the Kazon-Ogla who are living on the Ocampa surface to travel outside the system. Maybe they are under siege from the Kazon-Nistrim or some other Kazon sect which makes it difficult for them to travel outside the system and difficult for other Kazon-Ogla ships to deliver water to them. As they don't want to leave Ocampa with its valuable Cormaline which they use to trade with, they have to live with the water problem, at least until they can make peace with other Kazon sects nearby or find water in some other way.