But we have done pretty much everything else sexually. I've always wanted to take a shower or bath with her, but she says my sperm can swim through the water and enter her, possibly making her pregnant. If worse comes to worse I'll buy a condom to wear in the shower. I've heard that sperm can live in moist areas (like a vagina), so does she have a chance of getting pregnant if we masturbate together in the shower?
I'd say the risk is close to zero in the shower, especially if you don't get semen near her genital region. In the bathtub, though, I'm not as sure. The risk is certainly low, and it may in fact be zero – especially if the water is very soapy – but since the semen can linger in the water, I wouldn't completely rule out a chance of pregnancy. You're better off in the shower (but be careful about where your semen goes), or in the bath with a condom. And she can always further reduce the chance by using a contraceptive jelly, foam, or sponge.