A mythical water name?
Yes. Pegasi (plural of pegasus) you have already mentioned in a previous answer, these are winged horses. Kelpies of, I believe, Irish origin are water horses who lure people into bodies of water to drown them. Hippocampii (plural of hippocampus) are 'merhorses'. Just to name a few of the many and varied mythical breeds.
As real and as mythical as any other deity you can name. My Take: Some people think all gods are Mythical. General belief is that the pagan gods of old are Mythical and as they are called the pagan gods, most people can't even remember them. So the answer your teacher is looking for Pagan Gods = Mythical God of Christianity not.