The most common and most likely answer to this crossword clue is the 5 letter word ETHEL
I've seen this crossword clue in The Times
E
T
H
E
L
More clues leading to the result ETHEL
- Woman's number, having changed sides
- She’s not entirely above the law
- Female alien with a hand but no foot
- Girl nonetheless much reduced
- Merman, say, coming in to traverse the lagoon
- Girl’s heading for oblivion right to the end
- Female bishop leaving the site where Jacob had dream
- A noble girl. See the light around her!
- Woman who’s somewhat above the law
- She’s not completely above the law
Buddy explains!

The straight part
We know that "Merman, say" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case merman, say = ethel.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.