Is Fun They by Isaac Asimov considered a short story?

"Fun They" is not a short story by Isaac Asimov. There is no known work by Asimov with that title. It's possible you're misremembering the title or author.

If you can provide more details about the story you're thinking of (for example, a brief summary or any other details you remember), I might be able to help you find the correct title and author.