Nicky was a zanna that took the form of a mermaid. She was the imaginary friend to a young girl by the name of Zoe in Menomonie, Wisconsin.
Season 11
A young girl named Zoe was swimming with Nicky in her pool until Nicky reminded Zoe that she had to go to gymnastics. When the little girl left, Nicky continued to swim in the pool alone. Reese arrived and stabbed Nicky with the Zanna-killing knife multiple times, leaving her to bleed out and die in Zoe's pool. After Sully found her dead, he buried her in a ditch with Sam and Dean Winchester's assistance. When Sam and Dean asked Sully if anyone would want to hurt Nicky, he said no, and although her boyfriend Weems was too clingy, he would not have hurt her.