The integration of energy storage systems (ESS) on a large scale is becoming essential to mitigate intermittency issues in power supply from offshore wind farms. This paper deals with an offshore hydro-pneumatic energy storage (HPES) system comprising of a subsea accumulator pre-charged with a compressed gas. The paper applies a simplified thermodynamic model to investigate the potential increase in the energy storage density of the proposed HPES system by replacing air with carbon dioxide (CO2) that is able to undergo a phase change (gas-liquid-gas) during the storage cycle when limiting the peak operating pressure below the critical point. The study is based on a numerical model for simulating the thermodynamics of the entire storage cycle. A sensitivity study is conducted to examine the influence of main operational parameters, primarily the seawater temperature, peak working pressure, and sea depth, on the storage density of the HPES system operating with a dual phase fluid. It is shown that the storage density of HPES accumulators can be increased substantially by using CO2 in lieu of air. The increase in density is found to depend considerably on the seawater temperature and sea depth.