You could make sandwiches and cut them in the shape of fish with cookie cutters. Otherwise, I'm not sure what would fit the theme. I'll have to think about that part.
For a cake, you could do a simple Ariel cake or maybe try this:
http://www.womansday.com/recipes/9686/fish-bowl-cake-page2.html Depending on how much cake you needed, maybe you could do something similar to the Barbie in a dress cakes (where the doll stands into cake shaped like her skirt), but cut a 9x13 cake into the fins and work an Ariel doll into the top. Or maybe do the dress cake with most of the "dress" being ocean with fish around her and then park of it be the fins with Ariel coming out of the top.
For games, you could do a few swimming type races and games if enough swimmers are there. Otherwise, maybe a ball/shell toss into a net in the pool, maybe a fishing game where you put necklaces or other treasures in the pool or in a wading pool and the kids try to catch them.
Instead of a treat bag maybe you could find a little treasure box type of container and fill that.