We went to Caiscais a little later in June - my second time. Perfect for combining beach with city break. We got the train too. You can do a tour by rickshaw if Lisbon - they will even theme it as you like (eg focus on food, wine etc). We visited Benfica’s stadium - you can get food or a drink looking out on the stadium if you time it right (we didn’t, they were closing).
We also went out to Sintra - old palace town place - not for kids but worth a look.
Some of the restaurants in the main touristy area of Cascais are overpriced, but there are some other lovely ones further up the hills (you’ll know what I mean).
Where are you staying? We stayed at Miragem hotel, it was brilliant.