You've clearly not been on a night out in a town with a convenient beach. People sometimes choose to go for a dip to round the evening off. I've done it myself more than once.
You yourself have explained how it could easily happen. Maybe one of them got into trouble and the other two died whilst attempting a rescue.
All of these scenarios are possible. The triple suicide is, for me, the least probable simply because it requires all three women to be suicidal. The option that one tried to commit suicide and the others died trying to save her would be quite high on my list of possible scenarios.