Lightning can and does strike the sea - you can see a very dramatic example here - but it doesn't cause much harm.
Water, especially salt water, is a very efficient conductor of lightning or electricity. So the electricity from the lightning strike travels through the water and is dispersed, eventually losing its force and thus losing the ability to burn.

So any fish that were close to the site of the strike would be at risk, but the vast majority would be too far away for the effects to reach them.

That doesn't mean that swimming during a storm is a good idea, though. Unlike fish, swimmers would be more or less on the surface of the water, and at least a little above it, which makes you an elevated point for lightning to strike. Most safety advice would discourage you from doing this.