_ _ _ _ _ _ It is to jump into cool water to swim in such hot weather. Why not use it?

This is an exclamatory sentence. Use what for nouns and how for adjectives or adverbs.

Because fun is an uncountable noun, you can't add a before it. Therefore, you can't use what a fun.

How fun is in line with grammatical rules in terms of grammatical structure, but its meaning is wrong.

How fun? How interesting it is to jump into cool water to swim in such hot weather!