A better question is have you ever gotten burned UNDER your swimsuit?! I can honestly say NO! And I'd bet if you talked to a dermatologist that when people get most skin cancer it's not in the swimsuit covered areas. Just another gimmick to sell I guess.
As for getting burned through clothing.. it IS possible. I've burned through a light cotton blouse. I've read that the average light colored T shirt is only SPF 6 or 7, but I imagine only very sun sensitive people would burn through them even at that. The thickness is what helps protect I think.