She Creature, a part-fantasy part-horror movie that came out in 2001, is a darker interpretation of mermaid folklore. Lily, the wife of a carnival man named Angus, is part of a so-called "mermaid" act in which she dresses up in a fake tail for ticket-buyers to gawk at. During one of their shows, they meet an elderly man whom they learn is holding a real mermaid captive in his fortress-like home. They see the mermaid for themselves and are amazed by her. Angus decides to steal the mermaid for his carnival, but when they have to travel by ship across the sea, they learn there's a price to pay for keeping a real mermaid prisoner.
The mermaid in this movie is completely unnamed, fitting the fact that she is a greatest mystery of the entire story, and is never solved. Unlike many of her silver screen mermaid counterparts, She Creature's mermaid is more organic than stylised: her tail isn't photogenic or shiny, but instead looks like something that a real sea creature would have evolved on its journey to imitate human beings.
That's the part-fantasy bit. The part-horror comes from the human characters' realisation that just because the mermaid is beautiful and "stuck" in a tank, that doesn't mean that she's completely helpless. It's this dangerous mermaid that has made She Creature something of a cult classic.
Here's some minor trivia: Rya Kihlstedt (who plays the mermaid) is married to Gil Bellows (who has a brief role in this movie).
Many thanks to Bia for the screencaps on this page.