iPhone XS Max is turning on and then turning itself off immediately

At this point, you have to choose between hopefully saving your data or getting a working phone. You will not get both. If you bring your phone to Apple, they will replace it (at a cost) and your data will be lost forever. If you want to recover the data, then I highly recommend you send this device to a reputable micro-soldering repair shop that specializes in data recovery as quickly as possible. Do your research because a poor recovery attempt by an unqualified tech makes future attempts even harder.

Now, if you want to try something yourself, I would recommend the following steps. Keep in mind that you have already waited a few days and it is contaminated by seawater, which is the absolute worst case scenario as sea water is…well, full of salt and it is highly conductive while under battery power and also highly corrosive. It’s not uncommon for a seawater damaged device to have multiple internal components turned to rusty-ash and mush. In addition the iPhone X has a sandwiched logic board which makes it virtually impossible for a proper DIY decontamination but you can still follow most of these guidelines below:

The proper way treat a wet phone is to do the following:

• Open your phone and remove the logic board
• Inspect the logic board, especially around the connectors and look for corrosion.
• Inspect both sides of the board. Unfortunately, most of the board is contained within the sandwiched layers. That's usually where the damage is occurring.
• Put your board in a container with >90% isopropyl alcohol and let it sit for a while.
• Use a soft brush, like a toothbrush and lightly brush away any corrosion you see.
• Rinse in alcohol and repeat.
• Let it air dry for a day.
• Re-assemble and hope for the best.

You should also replace the battery if it has swollen. Resist the temptation to pop it to let the gas out. A compromised Li-ion battery is a fire hazard. If the device appears to power up but behaves erratically, then use a tool like 3uTools to flash the firmware as it may be corrupted.

A professional repair shop that does water damage repair may be able to recover your data because they have access to pro-level ultrasonic baths and specialized cleaners as well as the skills to troubleshoot your board. Many shops have a no data/no fee policy so you don't have to spend money to find out if the data is recoverable or not.