That's a good question. Most of their canons don't really give much of a hint one way or the other.

Jim could probably swim if the plot required him to. But under no other circumstances.

Borgel is in remarkably good physical shape for a supercentenarian - he keeps active. He probably learned to swim from something with about six more fins than him.

Leela knows how to swim - the forests of the Sevateem would have to contain an awful lot of water. Surprisingly, not all of it is unsafe to swim in.

Kane has been on this Earth for thousands of years. He's witnessed all of human history, run and toppled empires, and cheated death countless times. It'd take more than a little bit of water to kill him.

Atrus...probably, yes. Not really much to say about it.

Tuco is capable of wading across a waist-deep river. Whether he can do more than that is uncertain.

Caius can swim, since by default all characters, creatures, and NPCs in Morrowind are capable of doing so. Even the Flame Atronachs.