Ever wonder why pigs roll in the mud? You'd never see a human doing that, unless of course they were mud wrestling. When pigs roll around in the mud, they're actually trying to keep cool.
Humans get rid of excess heat by sweating. When the sweat evaporates it carries heat energy away from your body, which is why a sudden breeze feels cold when you are wet. Pigs don't have sweat glands, however, and so they have to add moisture to their skins in order to get it to evaporate and take away heat.
Mud, of course, has lots of moisture in it, and it may be the only option if a pig has inside a pen. If there were water to splash in, the pig might choose that to cool off.