I think it all depends on the context. Grammatically it’s possible. “Could” would refer to a possibility (tentative future in the past), so we would have three time references: the time focused in the story (past: they were in the water),  a possibility of something happening in the future of that past (being killed) and a past in the past (they had not seen animals before they jumped in) If it sounds strange is only because we’re in the middle of the story, there’s a lack of context but to me it’s perfectly OK.