Only really the case if the available power is limited, so flowing around you means the voltage drops. Otherwise it'll just do both. That, and wet skin has (massively) lower resistance than dry skin. It's unlikely to work out for you.

Skin is also hydrophobic. You're unlikely to have a complete circuit with no breaks on the outside of your body, unless you're currently standing in the shower.

I'd expect blood to conduct electricity much better than house hold water, due to higher salt content. Thus once the resistance of the skin has dropped because of the water on the skin, the path of least resistance should be through the inside of the body.