I don't think so, they are from grassy rocky areas, and generally those don't have an overabundance of water.
Furthermore, leos don't really seem designed with swimming in mind; they store most of their fat in the tail (from my understanding, I could be wrong). Since fat floats this would mean that in the water the gecko would be lifted up by it's tail forcing it's head under water (good for drowning, less so for swimming).