Yes, you'd have to be very unlucky for a mains-to-5V PSU to fail in such a way that it fed 240V to the 5V end and for water to then conduct that to the skin. But having the mains end of the PSU on your wet chest is asking for trouble - it only takes a bit of water to run down into the live pin and then onto your body, and you have a 240V shock in the making, especially as the bathwater is probably earthed via the plughole or via a metal bath (maybe with a bit of enamel missing so the water is touching the metal) and the water pipes.
The difficult is that sometimes you need to use a mains-powered device in a bathroom - eg mains-powered clippers when my wife is trimming my hair. I make sure the (fibreglass, not enamelled metal) bath is completely dry, and sit well away from bath taps, shower hose (metal) and anything else that could be earthed.