Translation:They will try to swim in the sea.
Yeah, it's a mistake that many English speakers make. It's acceptable in casual conversations and other informal scenarios, but it should be avoided in formal/official/etc situations. To "try and swim" (for example) means that you will do two different actions: you will "try" (though what you try is unspecified) and you will "swim" (no doubt about it).
I'm wondering if "they go to try to swim in the sea" is not expressed differently in Spanish? Or is there actually an ambiguity for the meaning of the Spanish sentence, to include both English sentence meanings: "They go to try to swim in the sea" (they go right now) and "They are going to try to swim in the sea" (usually, they will go in the future).
And actually, there is an ambiguity in the English sentence "they are going to try to swim in the sea." According to my understand of English grammatical nomenclature, the expression "they are going to...." is idiomatic, and connotes a future tense upon whatever action or event comprises the rest of the sentence. However, this expression can also be interpreted literally as the present continuous tense, wherein "they" are going right now. Hence, one could intend or interpret "They are going to try to swim in the sea" to mean "In this very moment they are on their way to try to swim in the sea".