Trying to make this a little clearer, you need two components. First, a water temperature transducer which mounts on the piping at the point you want to measure and control the temperature. This transducer preferably will have a 4-20ma output and will be powered by the current loop.
Second, you need a VFD with external PID capability. Many have this and many don't. You need to specify that without exception. Many drives with PID capability will also have a 24VDC power supply available to power the transducer loop. If not, you will also need a loop power supply.
Read up on the drive's PID system and build your temperature control system from that information. As mentioned above, this is not an uncommon mode of operation and you will be able to get support from your drive supplier or here on this forum.