Swimmer's blue with cold penetrating (4)
I believe the answer is:
scad
'swimmer's' is the definition.
(scad is a kind of fish)
'blue with cold penetrating' is the wordplay.
'blue with' becomes 'sad' (similar in meaning. I am not sure about the 'with' bit.).
'cold' becomes 'C' (eg on taps).
'penetrating' indicates putting letters inside.
'sad' going around 'c' is 'SCAD'.
Can you help me to learn more?
(Other definitions for scad that I've seen before include "fish" , "A lot of money for American" , "Jack" .)