I agree that she should be reported to her supervisor (and anyone else in charge). She has no business working with children until she's had some training. Yes, it would be great if you could confront her, but someone like this most likely wouldn't even see that she was wrong. If no one complains, she'll keep doing this. If enough people complain, her reputation will keep her from working.
And, yes, it's very important to teach our children to stand up for themselves and be proud of themselves, but your son is only four. He really can't be expected to politely confront the teacher and say her behavior is inappropriate. At this age, you must be his champion, particularly against an adult. Besides, walking away from a bully is sometimes a very good lesson to learn.
What you can do is ask him how he felt about what happened. Don't lead him--"Did she make you feel bad?"or put ideas in his head--"Yes, she was a very mean lady." See what's he's thinking, help him sort out what he feels and tell him that his feelings are valid. Then ask him what he felt proud of during the lesson, affirm that, and tell him things you think he did well,too. This is a prime teaching moment to help him trust his emotions. Explain that you're finding a new teacher who does things in a way that will help him feel comfortable. It's too much to expect him to learn a new physical skill while defending himself emotionally. Otherwise, he might develop a fear of swimming that's really a fear of a bad teacher.
Please post if you get a response from her supervisor. Good luck!