Swim under the waterfall, or swim through the waterfall is correct. Swim in the freshwater or swim in the river.

You could swim UNDER the waterfall or IN the waterfall , in the later case it doesn't mean you are swimming in the cascade of falling water of course , but in the area forming an expanse of water nearby,so the reference to the waterfall here is a reference to the whole area as a touristic site. As for fish they could swim UP a waterfall; they could make it up to the top by the help of current and the usage of their tail.

Examples - I went swimming under a waterfall (past). I am swimming under a waterfall (present). Let's go swim under the waterfall (as if your telling someone do). :)