From A Wiki of Ice and Fire
Mermaids are legendary aquatic creatures with the upper body of a female human and the tail of a fish. Mermen are their male counterparts. Merwives and merlings are also mentioned by people sometimes.
Mermaids are featured in Westerosi carvings, place names and in songs. They are often featured in places near to the the sea such as White Harbour. Patchface also mentions merfolk in some of his cryptic jingles that may have prophetic meaning. According to him the merwives wear nennymoans in their hair and weave gowns of silver seaweed.
- Legends hold that the Grey King of the Iron Islands wed a mermaid and became king of the western isles and all the sea beyond. 
References in the books
A Song of Ice and Fire
- The Mermaid's Lament is a sad song. 
- In Oldtown Armen wagers with Mollander that down at the docks you can find sailors who will tell you of mermaids that they bedded.
- In the Drowned God's watery halls there are mermaids to attend to every want.
- Mermaid's Palace is a small isle off the coast of the Arbor.
- The Mermaid's Kiss is a ship.
- Roro Uhoris claimed that he could tell one port from another just by the way they smelled. Cities were like women, he insisted; each one had its own unique scent, White Harbor was sharp, salty, and a little fishy like a mermaid. 
- One of the boats belonging to orphans of the Greenblood has a curved wooden tiller shaped like a mermaid.
- Castle Stair in White Harbour is a street with steps. It is a broad white stone way. Marble mermaids light the way, bowls of burning whale oil cradled in their arms.
- According to Tyrion the fisherfolk of Lannisport often glimpse merlings.
- House Manderlys' blazon is a white merman with dark green hair, beard and tail, carrying a black trident, over a blue-green field.
- What happened to Patchface during the two days after the Windproud had broken up is unknown, but the fisher folk like to say that "a mermaid had taught him to breathe water in return for his seed."
- The Merling Queen is a courtesan in Braavos. She is never seen without her "Mermaids" to hold her train and do her hair. 
- Merling Rock is a large rock formation in Blackwater Bay.
- The Spears of the Merling King are a geological feature of Blackwater Bay.
- There is a statue of Merling King the in the House of Black and White in Braavos.