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.