"Swimming in the wind" maybe has several meanings, but obviously has to do with being against the wind or through it. It may have to do with going against a (usually powerful) current/gusts (or countercurrent if you will).
Here, the photo of a dog swimming in the wind, so in a literal way:https://www.reddit.com/r/aww/comments/4 ... h=09520ae7
And there is this meaning as well, that of threading against wind gusts:http://www.ridingthespine.com/Journey/
Somtimes (sic) an abandoned building, other times we are crawling into culverts underneath the road, anything to escape the wind for a moment.
Sometimes invisible, other times so very tangible. Whether it takes form in a dust cloud, with stinging bits of rocks blowing against our faces and arms or renders the low brush and grass as fluid as abody of water, rippling with the gusts. Sometimes it feels like we are almost swimming in the wind, subjected to such powerful currents. When riding close together we simultaneously get blown into another lane, or when spread out further there can be a delay of a few moments, but inevitably the gust finds you.
As you see from the passage, in this case it would mean "struggle agains the wind", perhaps the politician in question meant "don´t let me take the blow alone/don´t let me weather the difficulty/the trouble on my own, without any help
In politics leaving the other behind to face the music alone is a common thing; anyway (again in politics) there are no permanent victories or defeats...