Posted: 21/04/2014 at 20:17
In Pembrokeshire, a small proportion of House Martins nest in sea caves, or beneath over-hangs on sea cliffs. Colonies can be found, for example nesting in/on sea cliffs to the south of Ceibwr; at Nolton Haven and on the Castlemartin coast.
Thought you might be interested in the above extract from a scientific document on the Pembrokeshire Birds Blog.
There is also mention of swallows nesting in sea caves.