An innate ability to fly wouldn't preclude the possibility of being afraid of heights, and fish can totally drown, they just do it in air. But your point is made.
Now I wonder how many flying fish are afraid of heights, how far a fish would have to fall in order to drown before hitting the water, and if there are any fish unfortunate enough to have a fear of being high up in the water column. I mean, it's over a mile in the ocean and some lakes, not that anything can see the bottom. Also not sure whether being able to see the bottom would be better or worse than not being able to see it.