So far, not featured in any of the games, are supposedly some of the oldest creatues in Nirn, and are subject tot the Fairie Chain Theory. What exactly do we know about them? And what of the Nymphs and the Nereids? Can they be considered related to Fairies?

Who knows maybe they are Faeries, maybe Springans are Faeries, maybe they are Ehlonfey, maybe they are imps. Unless they are mentioned in ESO the last time they were actually in anyway mentioned was in Daggerfall and it's hard to say anything about stuff from Daggerfall if it wasn't mentioned in later games

Nymphs and Nereids are actually mentioned in the Emperor's Guide (and the Nereids feature in the game, I think).