I agree exposition is harder with radio but you could do this with the introduction "The oceans are long gone leaving water loving animals like fish, dolphins and geordies rushing to their nearest swimming pool" or something. I know some people would see using the intro as an exposition tool as lazy but I'd say it was an option
If I put that in the intro though Blahblah, for me it would spoil the first few lines leading to revealing it's a leisure centre.
Have the Dolphins swimming & jumping in their usual manner..
BARRY: I let the pirhanas out of the steam room
.. Beat ..
The Dolphins ate them!
Murder Most Horrid Bill!
May hap, but unexpected, hence funnier.
Slightly better:
BARRY: I let the pirhanas out of the steam room, after they promised to become vegetarians.
MRS MILDEW: What happened?
BARRY: The Dolphins ate them!
I think the ideas funny enough that the reveal isn't neccesary, if anything keeping it concealed makes the sketch more confusing than need be.