What would jumping into a pool and feeling cold be called? Conduction, or convection?

When first coming into contact with the water, it is conduction. The skin feels the water colder than air because water is a better conductor of heat than air. So the skin cools faster in water than in air.

For longer intervals convection will enhance the effect bringing cooler water next to the skin and removing the water already heated by the skin.

The difference will persist plotting water temperatures ( equal with air temperature) up to the temperature the skin raises the water when in contact with it. After that, the water is felt as warm.