No, there is no danger in absorbing any significant amount of mercury by swimming in the ocean or in a lake, even though they have enough mercury to contaminate fish to dangerous levels. The problem with the fish is that the mercury level is bioaccumulated to high levels by organisms in the food chain. But eating fish from bays around the U.S. and other places can be very problematic regarding mercury.
Most predator fish(those most eaten) from the Gulf coast have dangerous levels of mercury: http://www.flcv.com/flhg.html similar for other areas