If you search the statistics about lightning strikes, you shall see that in the united states the place with the most is the state of Florida. None of the strikes has been in the water opposed to the myth. The only time lightning seems to hit the sea is to end hitting a floatin boey.
Yes a lightning can strike you assuming you are at the specific time in the specific place. The statistics imply that it is more probable to get hit by a lightning than to be bitten by a shark or die in an airplane accident.