I am currently roleplaying a character who likes swimming in lava. I have played Skyrim before and explored all of it but i do not recall any lava. Is there someplace i haven't explored with lava in it?

Only in a place added by Dawnguard, i think. The ruin Lost to the Ages quest ends in has a lake of lava in the last chamber.

Can you swim in it or is it more like Morrowind lava?

As far as i can remember yes, it's like like water. Except it does damage, of course.

you can swim in it but you lose health fast.

There's no lava, but there are volcanic springs in Eastmarch. I know that's like saying 'we don't have Coke, is Sprite okay?' but it's the closest you come in the vanilla game.

Just out of interest, what type of character enjoys swimming in red hot lava?