Remember that Pokemon are their own class of creatures, who only RESEMBLE animals. My guess would be that fish Pokemon like Feebas and Goldeen only resemble fish, meaning that they breathe through lungs, rather than gills and skin. Because of this, they have no worry of their skin drying out and suffocating.
Same with Pokemon like Horsea, who only resemble seahorses. Real seahorses change their sex when they breed, and I don't see my Seadra magically changing from male to female upon breeding. =P
In summary, my answer is that fish Pokemon technically AREN'T fish.