Lightening does electrocute fish if they are close enough to the strike.
However,a charge that strikes water tends to dissipate rapidly along the surface,giving natural protection to under water animals. Another reason we don't see waves of dead fish after an electrical storm is that lightning rarely hits bodies of water.
Fish have an involuntary muscular reaction to a mild stream of electricity. Those orient themselves towards the positive side of the field,though some start swimming the opposite way. They are also less conductive than human or water,if the water is salty or muddy.
But it is dangerous for human in water when there is an electrical storm.